Dear R-users I would like to integrate something like \int_k^\infty (1 - F(x)) dx, where F(.) is a cumulative distribution function. As mentioned in the "integrate" help-page: integrate(dnorm,0,20000) ## fails on many systems. This does not happen for an adaptive Simpson or Lobatto quadrature (cf. Matlab). Even though I am hardly familiar with numerical integration the implementation seems to be fairly straightforward.
My questions: - Is this extension of the function "integrate" planned for upcoming versions of R? - Do there exist packages / workarounds? I'm using R 2.6.2 on Windows and the reason why I want to integrate such an expression is for the sake to compute the performance measure "Omega" for financial securities. Best regards, David -- David Lüthi idp - Institute of Data Analysis and Process Design Zurich University of Applied Sciences Postfach 805 CH-8401 Winterthur E-mail: [EMAIL PROTECTED] Phone: 058 934 78 03 http://www.idp.zhaw.ch -- ______________________________________________ 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.
