R help - Mar 2013 - "adaptIntegrate" function

Hi all,
  it seems that there is problem with function "adaptIntegrate",
when the integration limits is infinity.
  Please see the code below. The second integration does not
seem to work.
  Can anyone familiar with this give some help?
  Thank you with much.
      Hanna


library(mnormt)
library(cubature)

ff <- function(x, rho){
             mu <- rep(0,3)
             Sigma <-(1-rho)*diag(3)+matrix(rho,3,3)
             f <- dmnorm(x, mu, Sigma)
             f
                                       }
adaptIntegrate(ff, lower=c(-10, -10, -10), upper=c(3,2,1),
rho=0.1,  maxEval=10000)

adaptIntegrate(ff, lower=rep(-Inf, 3), upper=c(3,2,1),
rho=0.1,  maxEval=10000)

	[[alternative HTML version deleted]]

Under ?adaptIntegrate, you will find the link to
http://ab-initio.mit.edu/wiki/index.php/Cubature#Infinite_intervals, where it
says that "Integrals over infinite or semi-infinite intervals is possible
by a change of variables."



-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of li li
Sent: Donnerstag, 21. M?rz 2013 16:10
To: r-help
Subject: [R] "adaptIntegrate" function

Hi all,
  it seems that there is problem with function "adaptIntegrate", when
the integration limits is infinity.
  Please see the code below. The second integration does not seem to work.
  Can anyone familiar with this give some help?
  Thank you with much.
      Hanna


library(mnormt)
library(cubature)

ff <- function(x, rho){
             mu <- rep(0,3)
             Sigma <-(1-rho)*diag(3)+matrix(rho,3,3)
             f <- dmnorm(x, mu, Sigma)
             f
                                       } adaptIntegrate(ff, lower=c(-10, -10,
-10), upper=c(3,2,1), rho=0.1,  maxEval=10000)

adaptIntegrate(ff, lower=rep(-Inf, 3), upper=c(3,2,1), rho=0.1,  maxEval=10000)

	[[alternative HTML version deleted]]

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