The cornish-fisher expansion for estimating percentage points: a numerical perspective

DOI10.1080/03610919708813384zbMath0900.62084OpenAlexW2052471019MaRDI QIDQ4387665

L. R. Shenton, K. O. Bowman

Publication date: 16 November 1998

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919708813384

zbMATH Keywords

cumulantsPearson systembeta densityJohnson translation systemFisher's \(z\)Johnson's \(S_B\)Johnson's \(S_U\)Levin algorithmmeans of Type IPadé algorithmPearson density cumulantsPearson's Type IIpercentage point algorithm

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

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• The Percentile Points of Distributions Having Known Cumulants
• Comparisons of the percentage points of distributions with the same first four moments, chosen from eight different systems of frequency curves
• Further approximate pearson percentage points and Cornish-Fisher
• Additional bowman-shenton approximate percentage points for pearson distributions based on pearson type vi
• Continued Fractions for the PSI Function and Its Derivatives
• Exact formulas for additional terms in some 1mportant series expansions

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