[R] Double Integration

[Ravi Varadhan]

There is no package called `integrate', but there is a function called
`adaptIntegrate' in the "cubature" package.

Ravi.

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Christos Argyropoulos
Sent: Friday, July 02, 2010 8:41 AM
To: sarah_sanchez09 at yahoo.com; r-help at r-project.org
Subject: Re: [R] Double Integration


Function adapt in package integrate maybe?

> Date: Thu, 1 Jul 2010 05:30:25 -0700
> From: sarah_sanchez09 at yahoo.com
> To: r-help at r-project.org
> Subject: [R] Double Integration
> 
> 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. 
> 
> This example appears in Internal Credit Risk Model by Michael Ong (page
no. 160).
> 
> Kindly guide.
> 
> Regards
> 
> Sarah
> 
> 
> 
> 
> 
>       
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> 
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