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Numerical Integration in S-PLUS or R: A Survey

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  • Kuonen, Diego

Abstract

This paper reviews current quadrature methods for approximate calculation of integrals within S-Plus or R. Starting with the general framework, Gaussian quadrature will be discussed first, followed by adaptive rules and Monte Carlo methods. Finally, a comparison of the methods presented is given. The aim of this survey paper is to help readers, not expert in computing, to apply numerical integration methods and to realize that numerical analysis is an art, not a science.

Suggested Citation

  • Kuonen, Diego, 2003. "Numerical Integration in S-PLUS or R: A Survey," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 8(i13).
    • Handle: RePEc:jss:jstsof:v:008:i13
    DOI: http://hdl.handle.net/10.18637/jss.v008.i13
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    References listed on IDEAS

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    1. Evans, Michael & Swartz, Timothy, 2000. "Approximating Integrals via Monte Carlo and Deterministic Methods," OUP Catalogue, Oxford University Press, number 9780198502784.
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    3. Phillips, Kem, 2010. "R Functions to Symbolically Compute the Central Moments of the Multivariate Normal Distribution," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 33(c01).

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