[R] Double Integration

[David Winsemius]

And an adapt() in fCopulae.

--  
David.
On Jul 2, 2010, at 7:06 PM, Ravi Varadhan wrote:

> 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
>>
>>
>>
>>
>>
>>
>> 	[[alternative HTML version deleted]]
>>
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>> and provide commented, minimal, self-contained, reproducible code.
> 		 	   		
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>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

David Winsemius, MD
West Hartford, CT