[R] Double Integration

David Winsemius dwinsemius at comcast.net
Thu Jul 1 19:16:13 CEST 2010


On Jul 1, 2010, at 8:30 AM, Sarah Sanchez wrote:

> Dear R helpers
>
> I am working on the Bi-variate Normal distribution probabilities. I  
> need to double integrate the following function (actually simplified  
> form of bivariate normal distribution)
>
> f(x, y) = exp [ - 0.549451 * (x^2 + y^2 - 0.6 * x * y) ]
>
> where 2.696 < x < 3.54 and -1.51 < y < 1.98
>
> I need to solve something like
>
>
> INTEGRATE (2.696 to 3.54) dx INTEGRATE [(-1.51 to 1.98)] f(x, y) dy
>
> I have referred to stats::integrate but it deals with only one  
> variable.

I find the latest version of RSiteSearch to be poorly configured for  
searching r-help, so I have constructed a different set of defaults  
that include the rhelp archive in the searches.


  rhelpSearch <-  function(string,
                   restrict = c("Rhelp10", "Rhelp08", "Rhelp02",  
"functions" ),
                   matchesPerPage = 100, ...)
                RSiteSearch(string=string,
                  restrict = restrict,
                  matchesPerPage = matchesPerPage, ...)

  rhelpSearch("double integra*")  241 hits

-- 
David Winsemius, MD
West Hartford, CT



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