SparseGrid is an R translation of the Matlab code on (Heiss & Winschel, 2008). Sparse grids can be used to numerically approximate integrals of high dimension, with fewer nodes than grids constructed by a product rule.

This package is distributed in the hope that it may be useful to some. The usual disclaimers apply (downloading and installing this software is at your own risk, and no support or guarantee is provided, I don't take liability and so on), but please if you have any problems, suggestions, comments, etc.



Heiss, F., & Winschel, V. (2008). Likelihood approximation by numerical integration on sparse grids. Journal of Econometrics, 144(1), 6280.