Title

Algorithm AS 269: Higher-Order Cornish Fisher Expansion

Publication Type

Journal Article

Publication Date

1992

Abstract

Evaluates the application of the Cornish-Fosher expansion for the numerical determination of distributions. Algorithm; Structure; Accuracy; Limitations.

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of the Royal Statistical Society. Series C (Applied Statistics)

Volume

41

Issue

1

First Page

233

Last Page

240

ISSN

0035-9254

Publisher

Royal Statistical Society

Additional URL

http://www.jstor.org/stable/2347649

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