[R] gauss.hermite?

Tamas Papp tpapp at axelero.hu
Fri May 28 10:26:09 CEST 2004


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

-- 
Tamás K. Papp
E-mail: tpapp at axelero.hu
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