Hi all,
it seems that there is problem with function "adaptIntegrate",
when the integration limits is infinity.
Please see the code below. The second integration does not
seem to work.
Can anyone familiar with this give some help?
Thank you with much.
Hanna
library(mnormt)
library(cubature)
ff <- function(x, rho){
mu <- rep(0,3)
Sigma <-(1-rho)*diag(3)+matrix(rho,3,3)
f <- dmnorm(x, mu, Sigma)
f
}
adaptIntegrate(ff, lower=c(-10, -10, -10), upper=c(3,2,1),
rho=0.1, maxEval=10000)
adaptIntegrate(ff, lower=rep(-Inf, 3), upper=c(3,2,1),
rho=0.1, maxEval=10000)
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