I need to fill the region determined by two (Gaussian) curves and the right red line (the region is brushed in green in the figure below). I also wonder what is the best way to draw vertical line which goes through the intersection of both graphs (the left red line on the figure).
Any pointers would be greatly appreciated.

My initial attemt is pasted below.
\documentclass{standalone}
\usepackage{pgfplots}
\begin{document}
\pgfmathdeclarefunction{dnorm}{2}{%
\pgfmathparse{1/(#2*sqrt(2*pi))*exp(-((x-#1)^2)/(2*#2^2))}%
}
\begin{tikzpicture}
\begin{axis}[domain=0:12, samples=100, height=5cm, width=10cm]
% Fill aread under the curves
\addplot [fill=red!20, draw=none, domain=0:6] {dnorm(6.5,1.5)} \closedcycle;
\addplot [fill=blue!20, draw=none, domain=6:10] {dnorm(4,1)} \closedcycle;
% Draw curves
\addplot [thick] {dnorm(4,1)};
\addplot [thick] {dnorm(6.5,1.5)};
\end{axis}
\end{tikzpicture}
\end{document}
My solution
A picture is worth a thousand words. Code is pasted below.

\documentclass{article}
\usepackage{tkz-fct}
\usetikzlibrary{intersections}
\begin{document}
\tikzset{
name plot/.style={every path/.style={name path global=#1}}
}
% Extract coordinates for point X
\makeatletter
\newcommand{\gettikzxy}[3]{%
\tikz@scan@one@point\pgfutil@firstofone#1\relax
\edef#2{\the\pgf@x}%
\edef#3{\the\pgf@y}%
}
\makeatother
% Dimlines
\def\Dimline[#1][#2][#3][#4]{
\begin{scope}[thin, >=stealth'] % redefine as flechas
\draw let \p1=#1, \p2=#2, \n0={veclen(\x2-\x1,\y2-\y1)} in [|<->|,
decoration={markings,mark=at position .5 with {\node[#3] at (0,0)
{#4};},
},
postaction=decorate] #1 -- #2 ;
\end{scope}
}
\begin{tikzpicture}[scale=1,font=\small]
\tkzInit[xmin=0,xmax=12,ymin=0,ymax=.3,ystep=.05]
% Draw coordinates
\draw[>=stealth', <->] (0,6) node[above] {$y$} -- (0,0) -- (12.5,0) node[right] {$x$};
% Draw functions and areas
\tkzFct[name plot=A,thick,color=red,domain=0:12]{1/(1.5*sqrt(2*pi))*exp(-((x-4.5)**2)/(2*1.5**1))}
\tkzDrawArea[opacity=.3,color=blue,domain = 7:12]
\tkzFct[name plot=B,thick,color=blue,domain=0:12]{1/(2*sqrt(2*pi))*exp(-((x-7)**2)/(2*2**1))}
\tkzDrawArea[opacity=.3,color=red,domain=0:7]
\tkzDrawAreafg[between=b and a,opacity=.3,color=green,domain = 0:7]
% Intersection between curves
\path [name intersections={of=A and B,by=C}];
% Extract coordinates of C
\gettikzxy{(C)}{\cx}{\cy}
% Vertical lines
\draw [thick,dashed, black] (\cx,0) -- (\cx,5.5) node [above] {$x_{0}$};
\draw [thick,dashed, black] (7,0) -- (7,5.5) node [above] {$\hat{x}$};
% Define regions
\Dimline[($(0,0)+(0,-.6)$)][($(7,0)+(0,-.6)$)][above,black][$\mathcal{R}_{1}$];
\Dimline[($(7,0)+(0,-.6)$)][($(12,0)+(0,-.6)$)][above, black][$\mathcal{R}_{2}$];
\end{tikzpicture}
\end{document}


tkz-fct, the\gettikzxymacro...), I think it would be good if you could add (and possibly accept) an answer of your own. It's generally preferred to have code on this site itself instead of referring to an external hosting service. – Jake Nov 21 '12 at 18:46