[R] [FORGED] Multiple Integrals

[Rolf Turner]

On 07/01/16 13:03, Luísa Freitas wrote:
> Dear R-helpers,
>
> I'm looking for a quick way to calculate triple integrals.
>
> I have tried something like this example:
>
> f <- function(x,y,z) dnorm(x)*dnorm(y)*dnorm(z)
> llim <- -Inf
> ulim <- Inf
> integrate(function(z)
> {
>    sapply(z,function(z)
>    {
>      integrate(function(y)
>      {
>        sapply(y, function(y)
>        {
>          integrate(function(x) f(x,y,z), llim, ulim)$value
>        })
>      }, llim, ulim)$value
>    })
> },llim,ulim)
>
> I'm not sure if there are other ways faster than this one.
> Any help will be appreciated.

GIYF.  Searching on "multiple integration r" led me very quickly to the 
R2Cuba package for multidimensional numerical integration, which will 
presumably do what you want.  (I have not tried it out; that's your job.)

cheers,

Rolf Turner

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