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Gauss-Hermite quadrature (probabilist's, exp(-z^2/2) weight)

Source: R/agq.R
gauss_hermite_prob.Rd

Computes nodes and weights for \int f(z) (2\pi)^{-1/2} exp(-z^2/2) dz via Golub-Welsch on the Hermite Jacobi matrix. Sums of w_k f(z_k) approximate E_{Z ~ N(0,1)}[f(Z)].

Usage

gauss_hermite_prob(n)

Arguments

n

Number of quadrature nodes.

Value

List with nodes and weights (each length n).