Cornish-Fisher expansions about the F-distribution

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• 作者：Christopher S. Withers^a ; Saralees Nadarajah^b ; ^{saralees.nadarajah@manchester.ac.uk}
• 关键词：Approximations ; Cornish&ndash ; Fisher expansions ; Cumulants ; F distribution ; Hill&ndash ; Davis expansions ; Percentile
• 刊名：Applied Mathematics and Computation
• 出版年：2012
• 期刊代码：7_00963003
• 类别：cp
• 出版时间：1 April, 2012
• 卷：218
• 期：15
• 页码：7947-7957
• 文件大小：246 K

摘要

Cornish and Fisher (1937) gave a fourth order approximation for the percentile of the F-distribution by approximating the cumulants of . We obtain an alternative formula by approximating the cumulants of F.

Hill and Davis (1968) gave Cornish-Fisher type expansions about any asymptotically normal distribution. We specialize their results to give expansions about the F-distribution.