Statistical Applications of the Complex-Step Method of Numerical Differentiation.
The complex-step method of numerical differentiation is described. This procedure is used to derive a numerical approximation to the first derivative of a function while avoiding the round-off error that characterizes standard finite difference approximations. An extension of the method allows for...
| Publicado en: | American Statistician Vol. 63; no. 1; pp. 66 - 75 |
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| Autor principal: | |
| Formato: | Artículo |
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American Statistical Association
February 2009
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| Acceso en línea: | Ver este registro en EBSCOhost |
| Sumario: | The complex-step method of numerical differentiation is described. This procedure is used to derive a numerical approximation to the first derivative of a function while avoiding the round-off error that characterizes standard finite difference approximations. An extension of the method allows for the calculation of second derivatives with less round-off error. The practical implementation of the method is discussed, with specific reference to R, and its effectiveness is considered in several statistical examples. |
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