Message-ID: <206E81C5DB06934283543543C0E5CDCB5BFE62@langouste.zhaw.ch>
Date: 2008-03-12T17:24:37Z
From: Lüthi David (luda)
Subject: Types of quadrature
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
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David L?thi
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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