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.

The author's website is http://www.awblocker.com

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Reference manual

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install.packages("fastGHQuad")

1.0 by Alexander W Blocker, 5 months ago


https://github.com/awblocker/fastGHQuad


Browse source code at https://github.com/cran/fastGHQuad


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, metaplus, mixAK, nlmixr, randomLCA, robmixglm, robustlmm, rstpm2.


See at CRAN