- Title
- On the Accuracy and Cost of Numerical Integration in Several Variable
- Author(s)
- Mark W. Plant Mark Plant (Princeton University)
- Richard E. Quandt Richard 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.
- Creation Date
- 1987-05
- Section URL ID
- IRS
- Paper Number
- 220
- URL
- https://dataspace.princeton.edu/bitstream/88435/dsp01w0892993j/1/220.pdf
- File Function
- Jel
- D6
- Keyword(s)
- numerical integration, latent variable models
- Suppress
- false
- Series
- 1