Gauss-Hermite Quadrature function

Description

Performs Gauss-Hermite Quadrature for an arbitrary number of nodes. Function for use in PofCSt.

Usage

1
G.H.Quad(x, m)

Arguments

x

is an m-vector upon which Gauss-Hermite Quadrature is to be applied

m

is the number of nodes desired for the Gauss-Hermite Quadrature

Details

This function uses gauss.quad.prob in the statmod package to perform Gauss-Hermite Quadrature inside of the PofCSt function.

Value

The result of the Gauss-Hermite Quadrature.

Author(s)

Jason Wilson, <jason.wilson@biola.edu>

References

Hildebrand, F.B. 1956. Introduction to Numerical Analysis. McGraw-Hill.

See Also

PofCSt


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