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

DOI10.1080/00949658908811180zbMath0715.65119OpenAlexW3122808372MaRDI QIDQ3201733

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

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

Related Items (1)

A numerical method for accurately approximating multivariate normal probabilities

Cites Work

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• Econometric modelling with nonnormal disturbances
• Tables for Computing Bivariate Normal Probabilities
• An Investigation of the Robustness of the Tobit Estimator to Non-Normality
• A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences
• The Greatest of a Finite Set of Random Variables

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