Ridout, M.S. (2009) Statistical applications of the complex-step method of numerical differentiation. The American Statistician, 63 (1). pp. 66-74. ISSN 0003-1305.
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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.
|Subjects:||Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics|
|Divisions:||Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics
Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science
|Depositing User:||Martin S Ridout|
|Date Deposited:||29 Jun 2011 13:54|
|Last Modified:||13 Dec 2011 13:24|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/24238 (The current URI for this page, for reference purposes)|
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