PDQ Functions via Gram Charlier, Edgeworth, and Cornish Fisher Approximations
Higher order Cornish Fisher approximation.
Convert raw cumulants to moments.
Approximate density and distribution via Edgeworth expansion.
Approximate density and distribution via Gram-Charlier A expansion.
Convert moments to raw cumulants.
News for package PDQutils :
PDQ Functions via Gram Charlier, Edgeworth, and Cornish Fisher Approxi...
Approximate quantile via Cornish-Fisher expansion.
Approximate random generation via Cornish-Fisher expansion.
A collection of tools for approximating the 'PDQ' functions (respectively, the cumulative distribution, density, and quantile) of probability distributions via classical expansions involving moments and cumulants.