Regions of positive and unimodal series expansion of the Edgeworth and Gram-Charlier approximations

DOI10.1093/biomet/59.2.463zbMath0256.60007OpenAlexW2033602836MaRDI QIDQ5671420

Norman R. Draper, David E. Tierney

Publication date: 1972

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/59.2.463

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Approximation by other special function classes (41A30)

Related Items (14)

Impact of volatility clustering on equity indexed annuities ⋮ Rearranging Edgeworth-Cornish-Fisher expansions ⋮ Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis ⋮ General solutions of the heat equation ⋮ The exact moments of OLS in dynamic regression models with non-normal errors ⋮ Analytic expressions for the positive definite and unimodal regions of Gram-Charlier series ⋮ Further exploration into the valid regions of Gram-Charlier densities ⋮ The refined positive definite and unimodal regions for the Gram-Charlier and Edgeworth series expansion ⋮ Edgeworth-Expanded Gaussian Mixture Density Modeling ⋮ Tailoring the Gaussian Law for Excess Kurtosis and Skewness by Hermite Polynomials ⋮ Comparisons of the percentage points of distributions with the same first four moments, chosen from eight different systems of frequency curves ⋮ The moments of OLS and 2SLS when the disturbances are non-normal ⋮ The valid regions of Gram-Charlier densities with high-order cumulants ⋮ The moments and power of the skewness statistic in sampling from the Gram-Charller Distribution

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