[R]The integration of the square of the c.d.f of normal distribution

[Roger Peng]

I believe that the integral of F(x)^2 in this case is infinite.  Do you
mean the normal _density_ squared?

Either way, you can use the integrate() function to check:

> f <- function(x) pnorm(x)^2
> integrate(f, -Inf, Inf)
Error in integrate(f, -Inf, Inf) : the integral is probably divergent
>

-roger
_______________________________
UCLA Department of Statistics
rpeng at stat.ucla.edu
http://www.stat.ucla.edu/~rpeng

On Thu, 7 Nov 2002, Feng Zhang wrote:

> Assume F(x) is the cdf of stardard normal c.d.f,
> and want to get the integration of F(x)^2 over
> (-infinite, +infinite).
> 
> So whats the value of this integration?
> And is there some function to achieve this?
> 
> Thanks.
> 
> 
> 
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