Stochastic Integration Rules for Infinite Regions
Stochastic multidimensional polynomial integrating rules are constructed for infinite integration intervals by generalizing rules by \textit{A. F. Siegel} and \textit{F. O'Brien} [SIAM J. Sci. Stat. Comput. 6, 169-181 (1985; Zbl 0583.65014)] for finite intervals. The derivation of low-degree stochastic integration rules for radial integrals with normal and student-\(t\) weight functions and the combination of these new rules with stochastic rules for the surface of the sphere are shown. Implementation details are discussed. Algorithms for the degree 1, 3, and 5 rules for spherical-radial integration are presented. Two examples, \[ I(f_1)= (2\pi)^{-4} \int^\infty_{-\infty} \int^\infty_{-\infty}\cdots \int^\infty_{-\infty} e^{- x^tx/2} \sqrt{1+ e^{\sum^8_{i=1} x_i/i}} dx_1dx_2\cdots dx_8 \] and a seven-dimensional proportional hazards model problem are dealt with.
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