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 ≥ x_{0}) for a Gaussian random variable.**

Figure B-1 illustrates the probability that a Gaussian random variable *x* exceeds *x*_{0}, *Pr*(*x* ≥ *x*_{0}), which is evaluated as

**Equation B.1. **

The Gaussian probability density function in (B.1) cannot be integrated in closed ...

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