Note that integrate accepts upper=Inf.
All that is needed is to read the help and do as it asks.
On Wed, 12 Mar 2008, Lüthi David (luda) wrote:
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
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Brian D. Ripley, [EMAIL PROTECTED]
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
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