Question: Suppose X is a multivariate normal variable X M V N ( 0 , x ) and Y = I ( X > 0 )

Suppose X is a multivariate normal variable XMVN(0,x) and Y=I(X>0) (i.e, yi=1 if xi>0 and yi=0 if not).

Is there a closed form for conditional expectation of X over a given value of Y, i.e., E[XI(X>0)=y] ?

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