On the Accuracy and Cost of Numerical Integration in Several Variable

Mark Plant and Richard Quandt
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Mark Plant: Princeton University
Richard Quandt: Princeton University

No 600, Working Papers from Princeton University, Department of Economics, Industrial Relations Section.

Abstract: The paper examines seven methods of numerical integration, including both special purpose algorithms designed for the multivariate normal density and general algorithms such as Gauss-Legendre and Newton-Cotes methods. With the aid of some five functions, the accuracy of these methods and their computational cost are compared in matched experiments on an IBM 370/3081 Model K and a 2-pipe CYBER 205. The effect of vectorised computation is also examined.

Keywords: numerical integration; latent variable models (search for similar items in EconPapers)
JEL-codes: D6 (search for similar items in EconPapers)
Date: 1987-05
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Persistent link: https://EconPapers.repec.org/RePEc:pri:indrel:220

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