FORTRAN Subroutines for the Expansion of a Probability Density in a Gram-Charlier Series.
Research and development rept.,
NAVAL SHIP RESEARCH AND DEVELOPMENT CENTER BETHESDA MD
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The report documents two FORTRAN subroutine packages implemented on the IBM 7090 and CDC 6700, GRAMCO and HERPO, that generate values for Gram-Charlier series coefficients and Hermite polynomials, respectively, where the coefficient and polynomial may have arbitrary order and as many as seven dimensions. The subroutines implement recurrence relations developed at the Naval Ship Research and Development Center by Dr. S. Berkowitz which generate the polynomials and coefficients without using partial differentiation. The routines employ an efficient algorithm which specifies the minimal set of lower-ordered coefficients of polynomials needed to compute a requested coefficient or polynomial value. Author
- Statistics and Probability
- Computer Programming and Software