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

DOI10.1080/00949658908811180MaRDI QIDQ3201733zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3793969 (Why is no real title available?)
• A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences
• An Investigation of the Robustness of the Tobit Estimator to Non-Normality
• Econometric modelling with nonnormal disturbances
• Tables for Computing Bivariate Normal Probabilities
• The Greatest of a Finite Set of Random Variables

Cited in

(2)

• A numerical method for accurately approximating multivariate normal probabilities
• scientific article; zbMATH DE number 734603 (Why is no real title available?)

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