gausslegendre: Gauss-Legendre quadrature

In YafeiXu/CopulaModel: CopulaModel: Dependence Modeling with Copulas

Description

Gauss-Legendre quadrature nodes and weights

Usage

gausslegendre(nq)

Arguments

nq	number of quadrature points

Value

nodes	vector of length nq of nodes in the interval (0,1)
weights	vector of length nq, sum of weights is 1

References

Original source for the code is "Stroud A and Secrest D (1966), Gaussian Quadrature Formulas, Prentice-Hall."

Examples

out=gausslegendre(15)
# same as gauss.quad.prob(15,dist="uniform") in library(statmod)
print(sum(out$weights))  # should be 1
print(sum(out$weights*out$nodes))  # should be 0.5

YafeiXu/CopulaModel documentation built on May 9, 2019, 11:07 p.m.