1
$\begingroup$

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.

$\endgroup$

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.