[R] numerical integration and 'non-finite function value' error

[Adan_Seb]

The domain of the beta distribution as defined in R is 0 <= x <= 1 and as
shown by David Winsemius it is undefined outside [0,1]. But thats sort of
the question I have. 
To elaborate, I have a variable with 0 as its natural lower limit but can
assume any positive number as an upper limit. So its domain is [0, Inf]. In
stead of the the two-parameter beta distribution with domain [0,1], I need
to estimate a three parameter beta distribution with domain [0, max]. Given
the parameter estimates for the 3-parameter distribution, I want to do the
integration for two ranges say [0,d] and [d, Inf] for 0 < d < Inf. But the
estimated distribution has a max < Inf and hence the same problem as in the
example arises when I do the integration for [d, Inf]. Replacing the Inf
with the estimated Max seem to work in some cases but not in others. Ravi
Varadhan said such replacement doesn't make sense and in that case what can
I do to implement the numerical integration in [d, Inf] using the estimated
Beta distribution?

Many thanks. 

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