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
Identifier
10.2307/2347649
Publisher
Royal Statistical Society
Citation
Lee, Y. S. and LIN, Ting Kwong.
Algorithm AS 269: Higher-Order Cornish Fisher Expansion. (1992). Journal of the Royal Statistical Society. Series C (Applied Statistics). 41, (1), 233-240.
Available at: https://ink.library.smu.edu.sg/soe_research/108
Additional URL
https://doi.org/10.2307/2347649
