Re: [R] gauss.hermite?

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From: Spencer Graves (spencer.graves@pdf.com)
Date: Sat 29 May 2004 - 04:02:25 EST


Message-id: <40B77EB1.2080505@pdf.com>


      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
>
>
>

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