I am using Gauss-Hermite quadrature to estimate E[h(x)] where x is a log normal random variable. I happen to see some bias in my final results. I was wondering if there is a formula specifying an upper-bound for the bias Gauss-Hermite quadrature can cause to help me find the source of the bias.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.