Statistical applications of the complex-step method of numerical differentiation

Ridout, Martin S. (2009) Statistical applications of the complex-step method of numerical differentiation. American Statistician, 63 (1). pp. 66-74. ISSN 0003-1305. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

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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: 04 Jun 2014 11:06
Resource URI: https://kar.kent.ac.uk/id/eprint/24238 (The current URI for this page, for reference purposes)
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