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multivariate integration and partial differentiation
2 messages · Wei-han Liu, Krishna Kumar
3 days later
Wei-han Liu wrote:
Hi R Users:
Could somebody share some tips on implementing multivariate integration and partial differentiation in R?
For example, for a trivariate joint distribution (cumulative density function) of F(x,y,z), how to differentiate with respect to x and get the bivariate distribution (probability density function) of f(y,z). Or integrate f(x,y,z) with respect to x to get bivariate distribution of (y,z).
Your sharing is appreciated.
Wei-han Liu
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Hi there are several multivariate integration possibilities in R besides Pseudo-MC/Quasi-MC, R package adapt that does adaptive quadrature based on fortran code from Alan Genz. There is also a package that does sparse grids (what is also goes as Smolyak Construction) but I can't seem to locate it quickly. In order to compute the cumulative distribution have a look at package mvtnorm, also it is possible to interface to mulnor directly from R using Rcpp or simillar. Best Krishna