We present computational methods and subroutines to compute Gaussian quadrature integration formulas for arbitrary positive measures. For expensive integrands that can be factored into well-known forms, Gaussian quadrature schemes allow for efficient evaluation of high-accuracy and -precision numerical integrals, especially compared to general ad hoc schemes. In addition, for certain well-known density measures (the normal, gamma, log-normal, Student's t, inverse-gamma, beta, and Fisher's F) we present exact formulae for computing the respective quadrature scheme.
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