[Highfrequency-commits] r120 - pkg/highfrequency/R

[noreply at r-forge.r-project.org]

Author: kboudt
Date: 2014-11-25 13:52:12 +0100 (Tue, 25 Nov 2014)
New Revision: 120

Modified:
   pkg/highfrequency/R/realized.R
Log:


Modified: pkg/highfrequency/R/realized.R
===================================================================
--- pkg/highfrequency/R/realized.R	2014-11-25 12:49:05 UTC (rev 119)
+++ pkg/highfrequency/R/realized.R	2014-11-25 12:52:12 UTC (rev 120)
@@ -357,7 +357,7 @@
     rho = 0.001
     R = matrix( c(1,rho,rho,1) , ncol = 2 ) 
     int1 <- function(x) {    mvtnorm::dmvnorm(x,sigma=R) }
-    num = cubature::aadaptIntegrate(int1, c(-3,-3), c(3,3), tol=1e-4)$integral
+    num = cubature::adaptIntegrate(int1, c(-3,-3), c(3,3), tol=1e-4)$integral
     int2 <- function(x) {  x[1]*x[2]*mvtnorm::dmvnorm(x,sigma=R) }
     denom = cubature::adaptIntegrate(int2, c(-3,-3), c(3,3), tol=1e-4)$integral
     c2 = rho*num/denom