Types of quadrature
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, L?thi 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 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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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