[R] [FORGED] Multiple Integrals

[David Winsemius]

> On Jan 6, 2016, at 8:37 PM, Rolf Turner <r.turner at auckland.ac.nz> wrote:
> 
> 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.)

I have not tried that package out but I can report satisfactory experience with the r package 'cubature'.

-- 
David.
> 
> cheers,
> 
> Rolf Turner
> 
> -- 
> Technical Editor ANZJS
> Department of Statistics
> University of Auckland
> Phone: +64-9-373-7599 ext. 88276
> 
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David Winsemius
Alameda, CA, USA