How can integrate this function in SAS. Limit of integration is a and b.
exp(2-x) CDF(X) dx
Is the CDF of a well-known distribution? If so, you can use the CDF function in SAS as part of the integrand.
To compute a numerical integration with known limits of integration, use the QUAD call in PROC IML. For the standard normal CDF and [a,b] = [0,1], the call would look like this:
start Func(x);
return( exp(2-x)#cdf("Normal", x) );
finish;
interval = {0 1};
call quad(answer, "Func", interval);
print answer;
For more on numerical integration with SAS, I have written several blog posts. You might want to do an internet search for
integrate function site:http://blogs.sas.com/content/iml/
and include other keywords as necessary.
Hello Rick,
Thank for your help. I am trying to do this numerical integration within a simulation. I used your code and read through the site but I am having one issue in the code below;
Data sim;
Input A B;
cards;
1 3
2 7
3 10
4 12
;
Run;
proc iml;
use sim;
read all var{A B} into DM;
close;
A = DM[,1]; B = DM[,2];
n = nrow(DM);
start Func(x);
return( exp(2-x)#cdf("Normal", x) );
finish;
interval = {A, B};
call quad(answer, "Func", interval);
create kaplan1n var{A B Answer };
append;
quit;
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