[R] Types of quadrature

[Prof Brian Ripley]

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
> --
>
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> 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