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On the Accuracy and Cost of Numerical Integration in Several Variable

Author

Listed:
  • Mark W. Plant

    (Princeton University)

  • Richard E. Quandt

    (Princeton University)

Abstract

The paper examines seven methods of numerical integration, including both special purpose algorithms designed for the multivariate normal density and general algorithms such as Gauss-Legendre and Newton-Cotes methods. With the aid of some five functions, the accuracy of these methods and their computational cost are compared in matched experiments on an IBM 370/3081 Model K and a 2-pipe CYBER 205. The effect of vectorised computation is also examined.

Suggested Citation

  • Mark W. Plant & Richard E. Quandt, 1987. "On the Accuracy and Cost of Numerical Integration in Several Variable," Working Papers 600, Princeton University, Department of Economics, Industrial Relations Section..
    • Handle: RePEc:pri:indrel:220
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    More about this item

    Keywords

    numerical integration; latent variable models;

    JEL classification:

    • D6 - Microeconomics - - Welfare Economics

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