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advantage or shortage for Gauss-Hermite quadrature approach

advantage or shortage for Gauss-Hermite quadrature approach

advantage or shortage for Gauss-Hermite quadrature approach

(OP)
I would like to consult you guys a problem about Gauss-Hermite quadrature approach. Comparing with Monte-Carlo or MCMC method, what is the advantage or shortage for Gauss-Hermite quadrature approach.

When I predict the probabilistic properties of a certain parameter, I use Markov Chain Monte Carlo (MCMC) simulation. For the same problem, I find there is other guy uses Gauss-Hermite quadrature approach.  Anybody can give me some guide or tip in this regard or some useful reference? Thanks advance.

 

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