Average value of Phi at a standard normal draw
Question
Let be standard normal and let denote the standard normal cumulative distribution function. Compute .
Short answer
. Applying a continuous variable's own CDF to it gives a uniform on (probability integral transform), whose mean is . Equivalently, for an independent copy , and by symmetry.
Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q3.38, p.84; question and answer rewritten by SelfMadeQuant.com.
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Open the worked solutionLessons behind this question
- The Normal Distribution
- Expectation, Mean, and Variance
- Conditional Expectation and Variance Revisited
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