[R] Gaussian Quadrature Numerical Integration In R

Ines Azaiez iazaiez at mit.edu
Wed Apr 14 03:25:03 CEST 2010

Hi All,

I am trying to use A Gaussian quadrature over the interval (-infty,infty) with weighting function W(x)=exp(-(x-mu)^2/sigma) to estimate an integral.
Is there a way to do it in R? Is there a function already implemented which uses such weighting function. 
I have been searching in the statmode package and I found the function "gauss.quad(100, kind="hermite")" which uses the weighting function  W(x)=exp(-x^2). Is there a more general version of this weighting function (using mu and sigma)?

Thanks for your help


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