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

R. Michael Weylandt <michael.weylandt@gmail.com> michael.weylandt at gmail.com
Tue Nov 8 15:43:48 CET 2011

Have you tried wrapping it in a function and using integrate()? R is pretty good at handling numerical integration. If integrate() isn't good for you, can you say more as to why?


On Nov 6, 2011, at 4:15 PM, JeffND <Zuofeng.Shang.5 at nd.edu> wrote:

> Hello to all,
> I am having trouble with intregrating a complicated uni-dimensional function
> of the following form
> Phi(x-a_1)*Phi(x-a_2)*...*Phi(x-a_{n-1})*phi(x-a_n).
> 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
> (-infty,infty).
> 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.
> Thanks!
> Jeff
> --
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