gauss.quad.prob: Gaussian Quadrature with Probability Distributions

In statmod: Statistical Modeling

Gaussian Quadrature with Probability Distributions

Description

Calculate nodes and weights for Gaussian quadrature in terms of probability distributions.

Usage

gauss.quad.prob(n, dist = "uniform", l = 0, u = 1,
                mu = 0, sigma = 1, alpha = 1, beta = 1)

Arguments

n	number of nodes and weights
dist	distribution that Gaussian quadrature is based on, one of "uniform", "normal", "beta" or "gamma"
l	lower limit of uniform distribution
u	upper limit of uniform distribution
mu	mean of normal distribution
sigma	standard deviation of normal distribution
alpha	positive shape parameter for gamma distribution or first shape parameter for beta distribution
beta	positive scale parameter for gamma distribution or second shape parameter for beta distribution

Details

This is a rewriting and simplification of gauss.quad in terms of probability distributions. The probability interpretation is explained by Smyth (1998). For details on the underlying quadrature rules, see gauss.quad.

The expected value of f(X) is approximated by sum(w*f(x)) where x is the vector of nodes and w is the vector of weights. The approximation is exact if f(x) is a polynomial of order no more than 2n-1. The possible choices for the distribution of X are as follows:

Uniform on (l,u).

Normal with mean mu and standard deviation sigma.

Beta with density x^(alpha-1)*(1-x)^(beta-1)/B(alpha,beta) on (0,1).

Gamma with density x^(alpha-1)*exp(-x/beta)/beta^alpha/gamma(alpha).

Value

A list containing the components

nodes	vector of values at which to evaluate the function
weights	vector of weights to give the function values

Author(s)

Gordon Smyth, using Netlib Fortran code https://netlib.org/go/gaussq.f, and including corrections suggested by Spencer Graves

References

Smyth, G. K. (1998). Polynomial approximation. In: Encyclopedia of Biostatistics, P. Armitage and T. Colton (eds.), Wiley, London, pages 3425-3429. http://www.statsci.org/smyth/pubs/PolyApprox-Preprint.pdf

See Also

gauss.quad, integrate

Examples

#  the 4th moment of the standard normal is 3
out <- gauss.quad.prob(10,"normal")
sum(out$weights * out$nodes^4)

#  the expected value of log(X) where X is gamma is digamma(alpha)
out <- gauss.quad.prob(32,"gamma",alpha=5)
sum(out$weights * log(out$nodes))

statmod documentation built on Jan. 6, 2023, 5:14 p.m.