# What is the expected value of this combination of three independent variables?

Suppose you have three independent random variables $x$, $y$, and $z$ that are distributed as follows:

$x$ ~ $N(0,\sigma_x)$, $y$ ~ $N(0,\sigma_y)$, and $z$ ~ $N(z_{average},\sigma_z)$.

I am trying to find the expected value and variance of the quantity $P=\sqrt{x^2 + y^2 +z^2}$. Since $\sigma_P^2 = E(P^2)-E(P)^2$, and $E(P^2)=\sigma_x^2+\sigma_y^2+\sigma_z^2+z_{average}^2$, I only need the expected value of this quantity. I have looked at some related questions and see that it should be of the form $$\iiint \sqrt{x^2+y^2+z^2}\frac{1}{\sigma_x\sqrt{2\pi}}e^\frac{-x^2}{2\sigma_x^2}\frac{1}{\sigma_y\sqrt{2\pi}}e^\frac{-y^2}{2\sigma_y^2}\frac{1}{\sigma_z\sqrt{2\pi}}e^\frac{-(z-z_{average})^2}{2\sigma_z^2}\,dx\,dy\,dz$$ But I have no idea how to evaluate this integral. I understand that with two dimensions elliptical integration can be used, but what kind of method is there to evaluate this triple integral?

• What's $z_{\mathrm{average}}$? – user217285 Aug 24 '17 at 22:48
• $z_{average}$ represents the mean of random variable z. Its some non-zero number. – paulinho Aug 25 '17 at 1:01