On Cornish-Fisher Expansions with Unknown Cumulants.

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Abstract:

In this paper a new method of approximating the quantiles of one distribution by the quantiles of another is introduced. The method is essentially a modification of the Cornish-Fisher technique which eliminates the necessity of knowing the cumulants of the distribution involved.

Author(s):
Mccune, E. D. ; Gray, H. L.
Author Organization(s):
SOUTHERN METHODIST UNIV DALLAS TEX DEPT OF STATISTICS
Descriptive Note:
Technical rept.,
Pagination:
0016

Security Markings

DOCUMENT & CONTEXTUAL SUMMARY

Distribution:
Approved For Public Release

RECORD

Collection: TR
Identifying Numbers
Report Number(s):
TR-123
Contract/Grant Number(s):
N00014-75-C-0439
Project Number(s):
NR-042-280
 Subject Terms
Communities of Interest:
No COI(s) Identified
Descriptor(s):
*STATISTICAL ANALYSIS, MATRICES(MATHEMATICS), PROBABILITY DENSITY FUNCTIONS, THEOREMS, SERIES(MATHEMATICS)
Field(s)/Group(s):
Statistics and Probability
Keyword(s):
*Cornish Fisher series, Quantiles
Report Date:
1975 May 30