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;
As Ian points out, the mistake in the 'grand' function. Try
start grand(u);
v=phi(u)#stdn(u);
return(v);
finish;
"Failed" is awful vague.
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Or how do you know it failed?
I have not tried to check the integration itself, but just looking at your code I can see a few issues that need attention. In the module called 'grand' you are attempting to call the modules 'phi' and 'stdn', however both require an argument 'u'. Secondly, you should terminate the IML code with 'quit' instead of 'run'.
As Ian points out, the mistake in the 'grand' function. Try
start grand(u);
v=phi(u)#stdn(u);
return(v);
finish;
Thanks a lot Rick, it works. I will reply to Ian to thank him as well.
Thanks a lot Ian, all valid comments, I cleared it up and now it works just fine. Thank you and Rick for your collaborative guidance!
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