gauss.hermite?
Thanks to Andy Liaw, Marc Schwartz, Dimitris Rizopoulos and Tamas
Papp for quick replies. Before I sent the email, I found that it was
written by Jim Lindsey, but I could not find further information on him,
so I appreciate the links. Also, the Advanced Statistical Computing
course notes look quite interesting. In particular, the function
"gaulag" providing "Gauss-Laguerre" may help with a related problem,
taking expected values with respect to gamma distributions. (Laguerre
polynomials are orthogonal with respect to the a gamma distribution, and
perform the same role as Hermite polynomials relative to a normal
distribution.)
Thanks again. spencer graves
Tamas Papp wrote:
On Fri, May 28, 2004 at 09:04:53AM +0200, Dimitris Rizopoulos wrote:
Dear Spencer, In Dr. Gray's course notes for Advanced Statistical Computing (Appendix of Chapter 6) there are some functions for computing abscissas and corresponding weights for several Gaussian integration rules: http://icommons.harvard.edu/~hsph-bio248-01/Lecture_Notes/
Also have a look at
@Book{judd98,
author = {Judd, Kenneth L},
title = {Numerical methods in economics},
publisher = {MIT Press},
year = 1998
}
especially one of the early chapters ("integration" is in its title,
but I don't have the book at the moment), which covers theory and
practice of numerical integration and quadrature rules.
Implementing these in R has been on my TODO list for a while, so I
would be happy to cooperate on this (but only in July or later).
Best,
Tamas