Appendix: Some Useful Integral Identities and Symmetry Properties of Normal Random Variables
Throughout all the formulas below, a, b, c, A, B, C are any real constants and X is a normal random variable with mean µ ∊ ℝ and standard deviation σ > 0, i.e., X ~ Norm(µ, σ2) with PDF . The functions (x) and 2(x, y; ρ) are the standard normal univariate and bivariate cumulative distribution functions, respectively.
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