Re: [R] Types of quadrature

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Wed, 12 Mar 2008 18:38:21 +0000 (GMT)

Note that integrate accepts upper=Inf.

All that is needed is to read the help and do as it asks.

On Wed, 12 Mar 2008, Lüthi David (luda) wrote:

> 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? - Do there exist packages / workarounds?
>
> 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
> --
>
> ______________________________________________
> R-help_at_r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

-- 
Brian D. Ripley,                  ripley_at_stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595


______________________________________________ R-help_at_r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.

Received on Wed 12 Mar 2008 - 18:43:02 GMT

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