Rfast2: mci – R documentation

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mci

Monte Carlo Integration with a normal distribution

Monte Carlo Integration with a normal distribution.

mci(fun, R = 10^6)

`fun`	A function denoting the inside part of the expectation to be computed.
`R`	The number of draws from the normal distribution.

The result of the integral.

Michail Tsagris

R implementation and documentation: Michail Tsagris mtsagris@uoc.gr.

Morgan B. J. (2018). Elements of simulation. Chapman & Hall/CRC.

## compute the expectation of abs(x)
fun <- function(x) abs(x)
mci(fun, R = 10^5)
a <- function(x)  abs(x)  * dnorm(x)
integrate(a, -Inf, Inf)

A Collection of Efficient and Extremely Fast R Functions II

v0.0.9

GPL (>= 2.0)

Authors

Manos Papadakis, Michail Tsagris, Stefanos Fafalios and Marios Dimitriadis.

Initial release

2021-03-21