A Bread-and-Butter Algorithm for Probability Integrals

Chaiho C. Wang
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Chaiho C. Wang: The George Washington University

A chapter in Computing Science and Statistics, 1992, pp 553-556 from Springer

Abstract: Abstract This paper presents a numerical integration algorithm based on the classicRomberg’s extrapolation method. The modification allows easy handling of improper integrals or integrals with end-point singularities. This algorithm is versatile, fast, and accurate. It may eliminate for some researchers the need for carrying around tables of integrals, and housing a bundle of tailor-fit algorithms for different integrals. Running on a personal computer, implemented in single precision Fortran (and within its limitations), the algorithm produced, to six-digit accuracy, all integral related tables found in Abramowitz and Stegun, “Handbook of Mathematical Functions.” With a few exceptions of difficult integrals, it can produce a data filled table of your own in seconds.

Keywords: Single Precision; Precision Arithmetic; Probability Integral; Double Precision Arithmetic; Improper Integral (search for similar items in EconPapers)
Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-2856-1_99

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DOI: 10.1007/978-1-4612-2856-1_99

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