Related papers: Custom-made Gauss quadrature for statisticians
Computation of moments of transformed random variables is a problem appearing in many engineering applications. The current methods for moment transformation are mostly based on the classical quadrature rules which cannot account for the…
In computational and applied statistics, it is of great interest to get fast and accurate calculation for the distributions of the quadratic forms of Gaussian random variables. This paper presents a novel approximation strategy that…
Iterative methods with certified convergence for the computation of Gauss--Jacobi quadratures are described. The methods do not require a priori estimations of the nodes to guarantee its fourth-order convergence. They are shown to be…
A novel recurrence formula for moments with respect to M\"{u}ntz-Legendre polynomials is proposed and applied to construct a numerical method for solving generalized Gauss quadratures with power function weight for M\"{u}ntz systems. These…
The aim of this paper is to describe a Matlab package for computing the simultaneous Gaussian quadrature rules associated with a variety of multiple orthogonal polynomials. Multiple orthogonal polynomials can be considered as a…
The zeros of type II multiple orthogonal polynomials can be used for quadrature formulas that approximate $r$ integrals of the same function $f$ with respect to $r$ measures $\mu_1,\ldots,\mu_r$ in the spirit of Gaussian quadrature. This…
A method of deriving quadrature rules has been developed which gives nodes and weights for a Gaussian-type rule which integrates functions of the form: f(x,y,t) = a(x,y,t)/((x-t)^2+y^2) + b(x,y,t)/([(x-t)^2+y^2]^{1/2}) +…
We describe a strategy for rigorous arbitrary-precision evaluation of Legendre polynomials on the unit interval and its application in the generation of Gauss-Legendre quadrature rules. Our focus is on making the evaluation practical for a…
Algorithms for computing the classical Gaussian quadrature rules (Gauss--Jacobi, Gauss--Laguerre, and Gauss--Hermite) are presented, based on globally convergent fourth-order iterative methods combined with asymptotic approximations, which…
We present a systematic computational framework for generating positive quadrature rules in multiple dimensions on general geometries. A direct moment-matching formulation that enforces exact integration on polynomial subspaces yields…
Two fundamental research tasks in science and engineering are forward predictions and data inversion. This article introduces a recent R package RobustCalibration for Bayesian data inversion and model calibration by experiments and field…
Highly oscillatory integrals of composite type arise in electronic engineering and their calculations is a challenging problem. In this paper, we propose two Gaussian quadrature rules for computing such integrals. The first one is…
We suggest a method for simultaneously generating high order quadrature weights for integrals over Lipschitz domains and their boundaries that requires neither meshing nor moment computation. The weights are determined on pre-defined…
Gaussian quadrature rules are a classical tool for the numerical approximation of integrals with smooth integrands and positive weight functions. We derive and expicitly list asymptotic expressions for the points and weights of Gaussian…
The sub-Gaussian stable distribution is a heavy-tailed elliptically contoured law which has interesting applications in signal processing and financial mathematics. This work addresses the problem of feasible estimation of distributions. We…
Gaussian Quadrature is a well known technique for numerical integration. Recently Gaussian quadrature with respect to discrete measures corresponding to finite sums have found some new interest. In this paper we apply these ideas to…
We use supercharacter theory to study moments of Gaussian periods. For $p-1=dk$ and fixed $k$, we compute the fourth absolute moments for all but finitely many primes $p$. For $d$ fixed, we relate the fourth absolute moments to the number…
Gaussian processes (GPs) are widely used as surrogate models for complicated functions in scientific and engineering applications. In many cases, prior knowledge about the function to be approximated, such as monotonicity, is available and…
The discrete unified gas kinetic scheme (DUGKS) has emerged as a promising Boltzmann solver capable of effectively capturing flow physics across all Knudsen numbers. However, simulating rarefied flows at high Knudsen numbers remains…
This paper deals with the computation of the Lerch transcendent by means of the Gauss-Laguerre formula. An a priori estimate of the quadrature error, that allows to compute the number of quadrature nodes necessary to achieve an arbitrary…