[R] Integral of PDF

[Albyn Jones]

To really understaand it you will have to look at the fortran code
underlying integrate.  I tracked it back through a couple of layers
(dqagi, dqagie, ...  just use google, these are old netlib
subroutines) then decided I ought to get back to grading papers :-)

It looks like the integral is split into the sum of two integrals,
(-Inf,0] and [0,Inf).  


> integrate(function(x) dnorm(x, 350,50), 0, Inf)
1 with absolute error < 1.5e-05
> integrate(function(x) dnorm(x, 400,50), 0, Inf)
1.068444e-05 with absolute error < 2.1e-05
> integrate(function(x) dnorm(x, 500,50), 0, Inf)
8.410947e-11 with absolute error < 1.6e-10
> integrate(function(x) dnorm(x, 500,50), 0, 1000)
1 with absolute error < 7.4e-05

The integral from 0 to Inf is the lim_{x -> Inf} of the integral
over [0,x].  I suspect that the algorithm is picking an interval
[0,x], evaluating the integral over that interval, and then performing
some test to decide whether to expand the interval.  When the initial
interval doesn't contain much, expanding a little won't add enough to
trigger another iteration.  

albyn

On Thu, Dec 02, 2010 at 04:21:34PM -0500, Doran, Harold wrote:
> The integral of any probability density from -Inf to Inf should equal 1, correct? I don't understand last result below.
> 
> > integrate(function(x) dnorm(x, 0,1), -Inf, Inf)
> 1 with absolute error < 9.4e-05
> 
> > integrate(function(x) dnorm(x, 100,10), -Inf, Inf)
> 1 with absolute error < 0.00012
> 
> > integrate(function(x) dnorm(x, 500,50), -Inf, Inf)
> 8.410947e-11 with absolute error < 1.6e-10
> 
> > all.equal(integrate(function(x) dnorm(x, 500,50), -Inf, Inf)$value, 0)
> [1] TRUE
> 
> > sessionInfo()
> R version 2.10.1 (2009-12-14)
> i386-pc-mingw32
> 
> locale:
> [1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United States.1252
> [3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
> [5] LC_TIME=English_United States.1252
> 
> attached base packages:
> [1] stats     graphics  grDevices utils     datasets  methods   base
> 
> other attached packages:
> [1] statmod_1.4.6      mlmRev_0.99875-1   lme4_0.999375-35   Matrix_0.999375-33 lattice_0.17-26
> 
> loaded via a namespace (and not attached):
> [1] grid_2.10.1   nlme_3.1-96   stats4_2.10.1 tools_2.10.1
> 
> 	[[alternative HTML version deleted]]
> 
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-- 
Albyn Jones
Reed College
jones at reed.edu