Fast 'Rcpp' Implementation of Gauss-Hermite Quadrature

Fast, numerically-stable Gauss-Hermite quadrature rules and utility functions for adaptive GH quadrature. See Liu, Q. and Pierce, D. A. (1994) for a reference on these methods.

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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.

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Reference manual

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1.0 by Alexander W Blocker, 3 years ago

Browse source code at

Authors: Alexander W Blocker

Documentation:   PDF Manual  

Task views: Numerical Mathematics

MIT + file LICENSE license

Depends on Rcpp

Linking to Rcpp

Imported by MultiGHQuad, irtreliability, lavacreg, metaplus, mixAK, nlmixr, randomLCA, robmixglm, robustlmm, rstpm2.

See at CRAN