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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| Official URL http://dx.doi.org/10.1198/tast.2009.0013 |
Abstract
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.
| Item Type: | Article |
|---|---|
| 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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