README.md
In awblocker/fastGHQuad: Fast 'Rcpp' Implementation of Gauss-Hermite Quadrature
Fast Gauss-Hermite quadrature
This is an R package for fast, numerically-stable Gauss-Hermite quadrature. It
uses the Golub-Welch algorithm (implemented using a Rcpp/LAPACK interface in
compiled code) to evaluate quadrature rules with 1000+ points with numerical
stability and efficiency. It also includes convenience functions for vanilla
Gauss-Hermite quadrature and adaptive Gauss-Hermite quadrature based on Laplace
approximations (Liu and Pierce 1994, Biometrika). All methods are currently
unidimensional.
The author's website is http://www.awblocker.com
awblocker/fastGHQuad documentation built on May 6, 2022, 5:49 a.m.
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Fast Gauss-Hermite quadrature
This is an R package for fast, numerically-stable Gauss-Hermite quadrature. It uses the Golub-Welch algorithm (implemented using a Rcpp/LAPACK interface in compiled code) to evaluate quadrature rules with 1000+ points with numerical stability and efficiency. It also includes convenience functions for vanilla Gauss-Hermite quadrature and adaptive Gauss-Hermite quadrature based on Laplace approximations (Liu and Pierce 1994, Biometrika). All methods are currently unidimensional.
The author's website is http://www.awblocker.com
R Package Documentation
Browse R Packages
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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