GLIntegrate {distrEx}

Gauss-Legendre Quadrature

Description

Gauss-Legendre quadrature over a finite interval.

Usage

GLIntegrate(f, lower, upper, order = 500, ...)

Arguments

f

an R function taking a numeric first argument and returning a numeric vector of the same length. Returning a non-finite element will generate an error.

lower

finite lower limit of integration.

upper

finite upper limit of integration.

order

order of Gauss-Legendre quadrature.

...

additional arguments to be passed to f. Remember to use argument names not matching those of GLIntegrate!

Details

In case order = 100, 500, 1000 saved abscissas and weights are used. Otherwise the corresponding abscissas and weights are computed using the algorithm given in Section 4.5 of Press et al. (1992).

Value

Estimate of the integral.

Author(s)

Matthias Kohl [e-mail]

References

W.H. Press, S.A. Teukolsky, W.T. Vetterling, B.P. Flannery (1992) Numerical Recipies in C. The Art of Scientific Computing. Second Edition. Cambridge University Press.

See Also

integrate, distrExIntegrate

Examples

integrate(dnorm, -1.96, 1.96)
GLIntegrate(dnorm, -1.96, 1.96)