Multidimensional Gauss-Hermite Quadrature

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Description

Functions to perform n-dimensional numerical integration on n parameters with a multivariate normal prior distribution.

Details

Use init.quad to generate a quadrature grid, and eval.quad to evaluate the integral. Evaluation is performed with Gauss-Hermite quadrature, with a prior distribution that can be specified to any multivariate normal. Additionally, the grid can be adapted to any multivariate normal distribution - that is known to be close(r) to the posterior distribution under evaluation.

Author(s)

Karel A Kroeze, k.a.kroeze@utwente.nl

References

Jaeckel, P. (2005). A note on multivariate Gauss-Hermite quadrature. London: ABN-Amro. Retrieved from http://www.pjaeckel.webspace.virginmedia.com/ANoteOnMultivariateGaussHermiteQuadrature.pdf

Bock, R. D., & Mislevy, R. J. (1982). Adaptive EAP Estimation of Ability in a Microcomputer Environment. Applied Psychological Measurement, 6(4), 431-444. http://doi.org/10.1177/014662168200600405

See Also

init.quad, eval.quad