This is an old version, view current version.

References

Bailey, David H., Karthik Jeyabalan, and Xiaoye S. Li. 2005. “A Comparison of Three High-Precision Quadrature Schemes.” Experiment. Math. 14 (3): 317–29. https://projecteuclid.org:443/euclid.em/1128371757.

Bowling, Shannon R., Mohammad T. Khasawneh, Sittichai Kaewkuekool, and Byung Rae Cho. 2009. “A Logistic Approximation to the Cumulative Normal Distribution.” Journal of Industrial Engineering and Management 2 (1): 114–27.

Ding, Peng, and Joseph K. Blitzstein. 2018. “On the Gaussian Mixture Representation of the Laplace Distribution.” The American Statistician 72 (2): 172–74. https://doi.org/10.1080/00031305.2017.1291448.

Durbin, J., and S. J. Koopman. 2001. Time Series Analysis by State Space Methods. New York: Oxford University Press.

Feller, William. 1968. An Introduction to Probability Theory and Its Applications. Vol. 1. 3. Wiley, New York.

Gelman, Andrew, J. B. Carlin, Hal S. Stern, David B. Dunson, Aki Vehtari, and Donald B. Rubin. 2013. Bayesian Data Analysis. Third Edition. London: Chapman & Hall / CRC Press.

Golub, G. H., and V. Pereyra. 1973. “The Differentiation of Pseudo-Inverses and Nonlinear Least Squares Problems Whose Variables Separate.” SIAM Journal on Numerical Analysis 10 (2): 413–32. https://doi.org/10.1137/0710036.

Guennebaud, Gaël, Benoît Jacob, et al. 2010. “Eigen V3.” http://eigen.tuxfamily.org.

Hindmarsh, Alan C, Peter N Brown, Keith E Grant, Steven L Lee, Radu Serban, Dan E Shumaker, and Carol S Woodward. 2005. “SUNDIALS: Suite of Nonlinear and Differential/Algebraic Equation Solvers.” ACM Transactions on Mathematical Software (TOMS) 31 (3): 363–96.

Jorge J. More, Kenneth E. Hillstrom, Burton S. Garbow. 1980. User Guide for MINPACK-1. 9700 South Cass Avenue, Argonne, Illinois 60439: Argonne National Laboratory.

Lewandowski, Daniel, Dorota Kurowicka, and Harry Joe. 2009. “Generating Random Correlation Matrices Based on Vines and Extended Onion Method.” Journal of Multivariate Analysis 100: 1989–2001.

Mori, Masatake. 1978. “An IMT-Type Double Exponential Formula for Numerical Integration.” Publications of the Research Institute for Mathematical Sciences 14 (3): 713–29. https://doi.org/10.2977/prims/1195188835.

Navarro, Danielle J, and Ian G Fuss. 2009. “Fast and Accurate Calculations for First-Passage Times in Wiener Diffusion Models.” Journal of Mathematical Psychology 53 (4): 222–30.

Powell, Michael J. D. 1970. “A Hybrid Method for Nonlinear Equations.” In Numerical Methods for Nonlinear Algebraic Equations, edited by P. Rabinowitz. Gordon; Breach.

Takahasi, Hidetosi, and Masatake Mori. 1974. “Double Exponential Formulas for Numerical Integration.” Publications of the Research Institute for Mathematical Sciences 9 (3): 721–41. https://doi.org/10.2977/prims/1195192451.

Tanaka, Ken’ichiro, Masaaki Sugihara, Kazuo Murota, and Masatake Mori. 2009. “Function Classes for Double Exponential Integration Formulas.” Numerische Mathematik 111 (4): 631–55. https://doi.org/10.1007/s00211-008-0195-1.

Vandekerckhove, Joachim, and Dominik Wabersich. 2014. “The RWiener Package: An R Package Providing Distribution Functions for the Wiener Diffusion Model.” The R Journal 6/1. http://journal.r-project.org/archive/2014-1/vandekerckhove-wabersich.pdf.

Wichura, Michael J. 1988. “Algorithm AS 241: The Percentage Points of the Normal Distribution.” Journal of the Royal Statistical Society. Series C (Applied Statistics) 37 (3): 477–84. http://www.jstor.org/stable/2347330.