Computation of probabilities that involve a Gaussian process require finding the area under the tail of the Gaussian (normal) probability density function as shown in Figure B-1.
Figure B-1. Gaussian probability density function. Shaded area is Pr(x ≥ x0) for a Gaussian random variable.
Figure B-1 illustrates the probability that a Gaussian random variable x exceeds x0, Pr(x ≥ x0), which is evaluated as
The Gaussian probability density function in (B.1) cannot be integrated in closed ...