R/zzz.R

In fastGHQuad: Fast 'Rcpp' Implementation of Gauss-Hermite Quadrature

#' @import Rcpp
#' @useDynLib fastGHQuad
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#' A package for fast, numerically-stable computation of Gauss-Hermite
#' quadrature rules
#' 
#' This package provides functions to compute Gauss-Hermite quadrature rules
#' very quickly with a higher degree of numerical stability (tested up to 2000
#' nodes).
#' 
#' It also provides function for adaptive Gauss-Hermite quadrature, extending
#' Laplace approximations (as in Liu & Pierce 1994).
#' 
#' \tabular{ll}{ Package: \tab fastGHQuad\cr Type: \tab Package\cr License:
#' \tab MIT \cr LazyLoad: \tab yes\cr }
#' 
#' @name fastGHQuad-package
#' @aliases fastGHQuad-package fastGHQuad
#' @docType package
#' @author Alexander W Blocker
#' 
#' Maintainer: Alexander W Blocker <ablocker@@gmail.com>
#' @seealso \code{\link{gaussHermiteData}}, \code{\link{aghQuad}},
#' \code{\link{ghQuad}}
#' @references Golub, G. H. and Welsch, J. H. (1969). Calculation of Gauss
#' Quadrature Rules. Mathematics of Computation 23 (106): 221-230.
#' 
#' Liu, Q. and Pierce, D. A. (1994). A Note on Gauss-Hermite Quadrature.
#' Biometrika, 81(3) 624-629.
#' @keywords package
#' @examples
#' 
#' # Get quadrature rule
#' rule <- gaussHermiteData(1000)
#' 
#' # Find a normalizing constant
#' g <- function(x) 1/(1+x^2/10)^(11/2) # t distribution with 10 df
#' aghQuad(g, 0, 1.1, rule)
#' # actual is
#' 1/dt(0,10)
#' 
#' # Find an expectation
#' g <- function(x) x^2*dt(x,10) # t distribution with 10 df
#' aghQuad(g, 0, 1.1, rule)
#' # actual is 1.25
#' 
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