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) <doi:10.2307/2337136> for a reference on these methods.

Tests Vignettes

Available Snapshots

This version of fastGHQuad can be found in the following snapshots:


Imports/Depends/LinkingTo/Enhances (2)
  • Rcpp >= 0.11.0
  • Rcpp
  • Version History