Statistical Applications of the Complex-step Method of Numerical Differentiation
نویسنده
چکیده
The complex-step method is a clever way of obtaining a numerical approximation to the first derivative of a function, avoiding the round-off error that plagues standard finite difference approximations. An extension of the method allows second derivatives to be calculated with reduced round-off error. This article provides an overview of the method, discusses its practical implementation, with particular reference to R, and studies its effectiveness in several statistical examples.
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تاریخ انتشار 2008