[R] Types of quadrature

From: luda <luda_at_zhaw.ch>
Date: Wed, 12 Mar 2008 18:24:37 +0100


Dear R-users

I would like to integrate something like \int_k^\infty (1 - F(x)) dx, where F(.) is a cumulative distribution function. As mentioned in the "integrate" help-page: integrate(dnorm,0,20000) ## fails on many systems. This does not happen for an adaptive Simpson or Lobatto quadrature (cf. Matlab). Even though I am hardly familiar with numerical integration the implementation seems to be fairly straightforward.

My questions:
- Is this extension of the function "integrate" planned for upcoming versions of R?

I'm using R 2.6.2 on Windows and the reason why I want to integrate such an expression is for the sake to compute the performance measure "Omega" for financial securities.

Best regards,
David

--
David Lüthi
idp - Institute of Data Analysis and Process Design
Zurich University of Applied Sciences
Postfach 805
CH-8401 Winterthur

E-mail: david.luethi_at_zhaw.ch
Phone: 058 934 78 03
http://www.idp.zhaw.ch 
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Received on Wed 12 Mar 2008 - 18:01:05 GMT

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