gauss.quad.prob {statmod} | R Documentation |
Calculate nodes and weights for Gaussian quadrature in terms of probability distributions.
gauss.quad.prob(n,dist="uniform",l=0,u=1,mu=0,sigma=1,alpha=1,beta=1)
n |
number of nodes and weights |
dist |
distribution that Gaussian quadrature is based on, one of "uniform" , "normal" , "beta" or "gamma" |
l |
lower limit of uniform distribution |
u |
upper limit of uniform distribution |
mu |
mean of normal distribution |
sigma |
standard deviation of normal distribution |
alpha |
positive shape parameter for beta or gamma distribution |
beta |
positive scale parameter for gamma distribution |
This is a rewriting and simplification of gauss.quad
in terms of probability distributions.
The expected value of f(X)
is approximated by sum(w*f(x))
where x
is the vector of nodes and w
is the vector of weights. The approximation is exact if f(x)
is a polynomial of order no more than 2n+1
.
The possible choices for the distribution of X
are as follows:
Uniform on (l,u)
.
Normal with mean mu
and standard deviation sigma
.
Beta with density x^(alpha-1)*(1-x)^(beta-1)/B(alpha,beta)
on (0,1)
.
Gamma with density x^(alpha-1)*exp(-x/beta)/beta^alpha/gamma(alpha)
.
A list containing the components
nodes |
vector of values at which to evaluate the function |
weights |
vector of weights to give the function values |
Gordon Smyth
Golub, G. H., and Welsch, J. H. (1969). Calculation of Gaussian quadrature rules. Mathematics of Computation 23, 221-230.
Golub, G. H. (1973). Some modified matrix eigenvalue problems. Siam Review 15, 318-334.
Stroud and Secrest (1966). Gaussian Quadrature Formulas. Prentice- Hall, Englewood Cliffs, N.J.
out <- gauss.quad.prob(10,"normal") sum(out$weights * out$nodes^4) # the 4th moment of the standard normal is 3 out <- gauss.quad.prob(32,"gamma",alpha=5) sum(out$weights * log(out$nodes)) # the expected value of log(X) where X is gamma is digamma(alpha)