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Title: On the efficiency and robustness of the core routine of the quadrature method of moments (QMOM)
Authors: John, VolkerThein, Ferdinand
Issue Date: 2012
Published in: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik, Volume 1697, ISSN 0946-8633
Publisher: Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
Abstract: Three methods are reviewed for computing optimal weights and abscissas which can be used in the Quadrature Method of Moments (QMOM): the Product-Difference Algorithm (PDA), the Long Quotient-Modified Difference Algorithm (LQMDA, variants are also called Wheeler algorithm or Chebyshev algorithm), and the Golub--Welsch Algorithm (GWA). The PDA is traditionally used in applications. It is discussed that the PDA fails in certain situations whereas the LQMDA and the GWA are successful. Numerical studies reveal that the LQMDA is also more efficient than the PDA.
Keywords: Quadrature Method of Moments; optimal quadrature rules; Product-Difference Algorithm; Long Quotient-Modified Difference Algorithm; Golub–Welsch Algorithm
DDC: 510
License: This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.
Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.
Appears in Collections:Mathematik



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