Re: issue - integration problem

"Omkar Palsule-Desai" <omkardpd@xxxxxxxxxxxxxxx> wrote in message
<fn4pgb$jg2$1@xxxxxxxxxxxxxxxxxx>...
I agree with your suggestion of reducing domain. But I
feel the main issue is due to the functions. The functions
are of the normal and bivariate normal form. I have not
been able to integrate normal density function with "int"
command in matlab. I am not sure about how to handle the
function to be integrated.
Omkar
---------
Omkar, I am a little puzzled here. The fact that F1 and F2 refer to
independent distributions has nothing to do with your evaluation of this given
integral, unless you had in mind expressing that integral as a multiple
integral involving products of the respective normal density functions, and I
see no advantage in doing that. After all, once one knows the mean(s) and
(co)variances of these distributions, their cumulative distribution functions
are completely determined as functions of x, and therefore the product (1-F1
(x)*[1-F2(x,0)) is determined.

Matlab's Statistics Toolbox contains the functions 'normcdf' and 'mvncdf'
from which you can form this integrand function in your integral. The
problem then is one of a single integration, and you should be able to make
use of one of matlab's numerical quadrature functions for this purpose.
However, as John advises, you need to change to a finite approximating upper
limit of integration rather than infinity to make it work properly. The limit
should be selected large enough to ensure upper limit integration accuracy
but not so large as to confuse the quadrature functions, they being somewhat
temperamental beasts.

Roger Stafford

.

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