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Title: On the Accuracy and Cost of Numerical Integration in Several Variable
Authors: Plant, Mark W.
Quandt, Richard
Keywords: numerical integration
latent variable models
Issue Date: 1-May-1987
Series/Report no.: Working Papers (Princeton University. Industrial Relations Section) ; 220
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.
Appears in Collections:IRS Working Papers

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