References

1. Wilf HS. Mathematics for the Physical Sciences. New York: Wiley; 1962, p. 54.

2. Press WH, et. al. Numerical Recipes in C. Cambridge, UK: Cambridge University Press; 1992.

3. Ball JS. Orthogonal polynomials, Gaussian quadratures and PDEs. Comput. Sci. & Eng. 1999:92–95.

4. Liu Q, Jäckel P. A Note on multivariate Gauss–Hermite quadrature. Biometrika 1994;81 (3):624–629.

5. Nia VP. Gauss–Hermite quadrature: Numer. Stat. Method 2006; Online:vahid.probstat. ch/paper/ghq.pdf.

6. Arasaratnam I, Haykin S, Elliot RJ. Discrete-time nonlinear filtering algorithms using Gauss–Hermite quadrature. Proc. IEEE, 2007;95 (5):953–977.

7. Abramowitz M, Stegun IA. Handbook of Mathematical Functions. Dover Publications 1972.

8. Smolyak SA. Quadrature and interpolation formulas for tensor products of certain classes of functions. Dokl. Akad. Nauk SSSR 1963;4:240–243.

9. Wasilkowski GW, Woimgniakowski H. Explicit cost bounds of algorithms for multivariate tensor product problems. J. Complex. 1994;11 (1):1–56.

10. Gerstner T, Griebel M. Numerical integration using sparse grids. Numer. Algorithms, 1998;18 (4):209–232.

11. Gerstner T, Griebel M. Dimension-adaptive tensor-product quadrature. Computing 2003;71:65–87

12. Heiss F, Winschel V. Estimation with Numerical Integration on Sparse Grids. Discussion Papers in Economics 916; 2006.

13. Heiss F, Winschel V. Likelihood approximation by numerical ...

Get Bayesian Estimation and Tracking: A Practical Guide now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.