GAUSSHERMITE—Numerical integration
Posted: Thu May 05, 2011 2:00 pm
This procedure generates vectors of abscissas and weights for Gauss-Hermite numerical integration.
@GaussHermite( options )
Options
N=# of nodes (input)
X=VECTOR of abscissas (output)
W=VECTOR of weights (output)
STANDARD/[NOSTANDARD]
With STANDARD, the X and W are adjusted for integration of f(x) x a standard Normal density rather than f(x) x exp(-x^2).
@GaussHermite( options )
Options
N=# of nodes (input)
X=VECTOR of abscissas (output)
W=VECTOR of weights (output)
STANDARD/[NOSTANDARD]
With STANDARD, the X and W are adjusted for integration of f(x) x a standard Normal density rather than f(x) x exp(-x^2).