MultiGHQuad-package: Multidimensional Gauss-Hermite Quadrature
In Karel-Kroeze/MultiGHQuad: Multidimensional Gauss-Hermite Quadrature
Description
Details
Author(s)
References
See Also
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
Karel-Kroeze/MultiGHQuad documentation built on May 7, 2019, 12:28 p.m.
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Description Details Author(s) References See Also
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
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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