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Posted 07-10-2020 10:37 PM
(703 views)

Community,

I want to perform a numerical integration for the following integrand

C1, delta11, d1, rho are all scalar, which will be specified explicitly. \phi(u) is the PDF of a standard normal distribution, \Phi() is the CDF of a standard normal distribution. I proposed the following SAS codes, but I failed, so there must be something very wrong. Can you kindly help? Thanks in advance!

*************************************************************************************************

proc iml;

start stdn(u);

pi = constant("Pi");

z=(1/sqrt(2#pi))#exp((-1/2)#(u#u));

return(z);

finish;

start phi(u) global(d1,rho);

cdf=probnorm((-d1+rho#u)/sqrt(1-rho#rho));

return(cdf);

finish;

start grand(u);

v=phi#stdn;

return(v);

finish;

start integral(cc1,ddelta1,dd1,rrho) global(c1,delta1,d1,rho,eps);

c1=cc1;

delta1=ddelta1;

d1=dd1;

rho=rrho;

ll=c1-delta1;

interval=ll||.P;

call quad(final,"grand",interval) eps=eps;

return(final);

finish;

eps = 1E-11;

p=integral(1.678, 1, 1.645, 0.6);

print p;

run;

1 ACCEPTED SOLUTION

Accepted Solutions

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As Ian points out, the mistake in the 'grand' function. Try

```
start grand(u);
v=phi(u)#stdn(u);
return(v);
finish;
```

5 REPLIES 5

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"Failed" is awful vague.

Are there errors in the log?: Post the code and log in a code box opened with the <> to maintain formatting of error messages.

No output? Post any log in a code box.

Unexpected output? Provide input data, if any, in the form of data step code pasted into a code box, the actual results and the expected results. Instructions here: https://communities.sas.com/t5/SAS-Communities-Library/How-to-create-a-data-step-version-of-your-dat... will show how to turn an existing SAS data set into data step code that can be pasted into a forum code box using the </> icon or attached as text to show exactly what you have and that we can test code against.

Or how do you know it failed?

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As Ian points out, the mistake in the 'grand' function. Try

```
start grand(u);
v=phi(u)#stdn(u);
return(v);
finish;
```

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Thanks a lot Rick, it works. I will reply to Ian to thank him as well.

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