Cornish-Fisher expansions about the \(F\)-distribution

DOI10.1016/j.amc.2012.02.013zbMath1430.62043OpenAlexW2005469561MaRDI QIDQ419561

Christopher S. Withers, Saralees Nadarajah

Publication date: 18 May 2012

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2012.02.013

zbMATH Keywords

cumulantsapproximationspercentile\(F\) distributionCornish-Fisher expansionsHill-Davis expansions

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

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• Generalized Cornish-Fisher expansions
• Asymptotic constants for minimal distance in the central limit theorem
• Edgeworth expansions for realized volatility and related estimators
• The distribution and quantiles of a function of parameter estimates
• Accurate distribution and its asymptotic expansion for the tetrachoric correlation coefficient
• Generalized Asymptotic Expansions of Cornish-Fisher Type

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