nintegrate: Numerical integration

In acopula: Modelling Dependence with Multivariate Archimax (or any User-Defined Continuous) Copulas

Numerical integration

Description

Trapezoidal integration of an arbitrarily dimensional function.

Usage

nintegrate(fun, lower, upper, subdivisions=100, differences=(upper-lower)/subdivisions)

Arguments

fun	function. Arguments can be in sequence or single vector.
lower,upper	numeric (vector). Upper and lower bound of integration. Either one of these or differences should have length of function dimension.
subdivisions	numeric (vector). Number of bins.
differences	numeric. Width of bins.

Value

Numeric.

Author(s)

Tomas Bacigal

See Also

nderive

Examples

##cumulative distribution function of a bivariate normal copula 
##evaluated at point c(0.5,0.6); compare pCopula(c(0.5,0.6),cop=copNormal(),par=0.5)
nintegrate(function(x) dCopula(x,cop=copNormal(),par=0.5), 
  lower=0.001, upper=c(0.5,0.6), subdivisions=20) 

acopula documentation built on Sept. 11, 2023, 1:08 a.m.