gauss.hermite(f, mu = 0, sd = 1, ..., order = 5)
f
.
f(Z)
when Z
is a normally-distributed random
variable with mean mu
and standard deviation sd
.
The expected value is an integral with respect to the
Gaussian density; this integral is approximated
using Gauss-Hermite quadrature. The argument f
should be a function in the R language
whose first argument is the variable Z
. Additional arguments
may be passed through ...
. The value returned by f
may be a single numeric value, a vector, or a matrix. The values
returned by f
for different values of Z
must have
compatible dimensions.
The result is a weighted average of several values of f
.
gauss.hermite(function(x) x^2, 3, 1)
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