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                                       Details van artikel 7 van 10 gevonden artikelen
 
 
  On the use of curve fitting to model the error of the Cornish-Fisher expansion of the pearson type-VI distribution
 
 
Titel: On the use of curve fitting to model the error of the Cornish-Fisher expansion of the pearson type-VI distribution
Auteur: Davenport, James M.
Herring, Thomas A.
Verschenen in: Communications in statistics
Paginering: Jaargang 8 (1979) nr. 4 pagina's 311-333
Jaar: 1979
Inhoud: The Cornish-Fisher expansion of the Pearson type VI distribution is known to be reasonably accurate when both degrees of freedom are relatively large (say greater than or equal to 5). However, when either or both degrees of freedom are less than 5, the accuracy of the computed percentage point begins to suffer; in some cases severely. To correct for this, the error surface in the degrees of freedom plane is modeled by least squares curve fitting for selected levels of tail probability (.025, .05, and .10) which can be used to adjust the percentage point obtained from the usual Cornish-Fisher expansion. This adjustment procedure produces a computing algorithm that computes percentage points of the Pearson type VI distribution at the above probability levels, accurate to at least + 1 in 3 digits in approximately 11 milliseconds per subroutine call on an IBM 370/145. This adjusted routine is valid for both degrees of freedom greater than or equal to 1.
Uitgever: Taylor & Francis
Bronbestand: Elektronische Wetenschappelijke Tijdschriften
 
 

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