[R] how to use quadrature to integrate some complicated functions

JeffND Zuofeng.Shang.5 at nd.edu
Sun Nov 6 22:15:47 CET 2011

Hello to all,

I am having trouble with intregrating a complicated uni-dimensional function
of the following form


Here n is about 5000, Phi is the cumulative distribution function of
standard normal, 
phi is the density function of standard normal, and x ranges over

My idea is to to use quadrature to handle this integral. But since Phi has
not cloaed form,
I don't know how to do this effeciently. I appreciate very much if someone
has any ideas about it.



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