PCS (version 1.3)

G.H.Quad: Gauss-Hermite Quadrature function

Description

Performs Gauss-Hermite Quadrature for an arbitrary number of nodes. Function for use in PofCSt.

Usage

G.H.Quad(x, m)

Arguments

x

is an m-vector upon which Gauss-Hermite Quadrature is to be applied

m

is the number of nodes desired for the Gauss-Hermite Quadrature

Value

The result of the Gauss-Hermite Quadrature.

Details

This function uses gauss.quad.prob in the statmod package to perform Gauss-Hermite Quadrature inside of the PofCSt function.

References

Hildebrand, F.B. 1956. Introduction to Numerical Analysis. McGraw-Hill.

See Also

PofCSt