[R] gauss.hermite?

[Spencer Graves]

      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
>
>  
>