问题
I am trying to compute the following expected value for Z being lognormally distributed
E[Z^eta w(F_Z (Z))^-eta]
where eta is a real number, F_Z the distribution function of Z and w:[0,1]->[0,1] an increasing function.
First of all, I am pretty new to Matlab so I don't know which way of integrating is the better one, numerically or symbolically. I tried symbolically.
My idea was to subsequently define functions:
syms x;
g_1(x) = x^eta;
g_2(x) = logncdf(x);
g_2(x) = w(x)^-eta;
g_4(x) = g_1(x) * g_3(g_2(x));
And then
exp = int(g_4(x),x,0,inf)
Unfortunately this doesn't work and MATLAB just posts the whole expression of g_4...
Is it better to use the numerical integration quadqk? What am I doing wrong here? I already read something about MATLAB not being the best program for integration but I have to use it so switching to a different program does not help.
Thanks a lot!
来源：https://stackoverflow.com/questions/24761176/calculating-the-expected-value-of-a-transformed-random-variable-in-matlab