There do exist packages for multi-variate integration in R, but sticking to base functions, what you've described should work but the inner integral will need to be vectorized before it's passes to the outer integral: Vectorize() can do this directly, but it won't be particularly fast since it's not true vectorization. Send real code if this doesn't help and we can take a look at it.
Michael On Nov 6, 2011, at 12:15 PM, "Robert A'gata" <rhelp...@gmail.com> wrote: > Hi, > > I have a function that I need to do double integration: > > \int^T_0 \int^t_0 N(\delta / \sigma \sqrt(u)) (1-N(\delta / \sigma > \sqrt(u))) du dt > > where N(x) is a standard normal probability of x. > > I start off by writing an inner integral into a function. Meaning > \int^t_0 N(\delta,\sigma \sqrt(u)) (1-N(\delta,\sigma \sqrt(u))) du. > Then calling integrate function on this function. This straightforward > way does not seem to work. I am not sure if there is any sample code > to do such integration? Thank you. > > Regards, > > Robert > > ______________________________________________ > R-help@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@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.
