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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 …
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 …