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For computation questions involving computing probabilities or simulating probabilistic processes.

4 votes
1 answer
176 views

solving for unknown inside an expectation

I need to find roots for the following function: $$f(\theta) \equiv E[R(\theta;\eta)]=0$$ for some unknown $\theta$ which is deterministic, while the expectation is taken over a normally distribute …
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3 votes
1 answer
158 views

Computing expectations

I want to compute the following conditional expectation $E_{t}[\phi(A_{t+1}, \eta_{t+1})| A_t]$ where $\log A_{t}=\rho \log A_{t-1} + e_{t}$ and $e_{t}$ is IID $N~(0,\sigma_e)$ and $\eta_{t}$ is an …
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  • 235