R package for fast, numerically-stable Gauss-Hermite quadrature
C++ R
Latest commit 5f6eec8 Aug 25, 2016 @awblocker committed on GitHub Merge pull request #1 from davharris/patch-1
throw an error if n<1 in gaussHermiteData
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src Add clean, updated Makevars with proper portable libraries. Aug 14, 2014
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DESCRIPTION Update date and required Rcpp version. Aug 14, 2014
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fastGHQuad.Rproj Move documentation and NAMESPACE to roxygen. Used Rd2roxygen to autom… Aug 12, 2014

README

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