On the accuracy and cost of numerical integration in several variables∗

DOI10.1080/00949658908811180zbMATH Open0715.65119OpenAlexW3122808372MaRDI QIDQ3201733FDOQ3201733

Authors: Mark W. Plant, Richard E. Quandt 

Publication date: 1989

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658908811180

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zbMATH Keywords

numerical integrationMonte Carlo methodnormal densityGauss-Legendre methodmethods of integrationNewton-Cotes methodRomberg methodLarge scale econometric problems

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Approximations to statistical distributions (nonasymptotic) (62E17) Numerical quadrature and cubature formulas (65D32) Multidimensional problems (41A63) Approximate quadratures (41A55)

Cites Work

• A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences
• Title not available (Why is that?)
• An Investigation of the Robustness of the Tobit Estimator to Non-Normality
• The Greatest of a Finite Set of Random Variables
• Tables for Computing Bivariate Normal Probabilities
• Econometric modelling with nonnormal disturbances

Cited In (2)

• Title not available (Why is that?)
• A numerical method for accurately approximating multivariate normal probabilities

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