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A note on the accuracy of adaptive Gauss–Hermite quadrature

Author

Listed:
  • Shaobo Jin
  • Björn Andersson

Abstract

SummaryNumerical quadrature methods are needed for many models in order to approximate integrals in the likelihood function. In this note, we correct the error rate given by Liu & Pierce (1994) for integrals approximated with adaptive Gauss–Hermite quadrature and show that the approximation is less accurate than previously thought. We discuss the relationship between the error rates of adaptive Gauss–Hermite quadrature and Laplace approximation, and provide a theoretical explanation of simulation results obtained in previous studies regarding the accuracy of adaptive Gauss–Hermite quadrature.

Suggested Citation

  • Shaobo Jin & Björn Andersson, 2020. "A note on the accuracy of adaptive Gauss–Hermite quadrature," Biometrika, Biometrika Trust, vol. 107(3), pages 737-744.
    • Handle: RePEc:oup:biomet:v:107:y:2020:i:3:p:737-744.
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