GAUSSHERMITE - Numerical integration

[TomDoan]

This procedure generates vectors of abscissas and weights for Gauss-Hermite numerical integration.

gausshermite.src

Procedure file

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@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).