Function adapt in package integrate maybe?
> Date: Thu, 1 Jul 2010 05:30:25 -0700
> From: [email protected]
> To: [email protected]
> Subject: [R] Double Integration
>
> Dear R helpers
>
> I am working on the Bi-variate Normal distribution probabilities. I need to
> double integrate the following function (actually simplified form of
> bivariate normal distribution)
>
> f(x, y) = exp [ - 0.549451 * (x^2 + y^2 - 0.6 * x * y) ]
>
> where 2.696 < x < 3.54 and -1.51 < y < 1.98
>
> I need to solve something like
>
>
> INTEGRATE (2.696 to 3.54) dx INTEGRATE [(-1.51 to 1.98)] f(x, y) dy
>
> I have referred to stats::integrate but it deals with only one variable.
>
> This example appears in Internal Credit Risk Model by Michael Ong (page no.
> 160).
>
> Kindly guide.
>
> Regards
>
> Sarah
>
>
>
>
>
>
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>
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