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 F.1.

**Figure F.1. Gaussian probability density function. Shaded area is Pr(x ≥ x_{0}) for a Gaussian random variable.**

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

**Equation F.1. **

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

Start Free Trial

No credit card required