Someone who ran into my previous posts on random inequalities asked me how to compute random inequalities for folded normals. (A folded normal random variable is the absolute value of a normal random variable.) So the question is how to compute
Pr(|X| > |Y|)
where X and Y are normally distributed. Here’s my reply as a short tech report: Inequality probabilities for folded normal random variables.
Previous posts in this series:
Introduction
Analytical results
Numerical results
Cauchy distributions
Beta distributions
Gamma distributions
Three or more random variables