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ON THE DERIVATION AND COMPUTATION OF THE CORNISH‐FISHER EXPANSION
Author(s) -
Lee YoongSin,
Lee Moy Chee
Publication year - 1992
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1992.tb01060.x
Subject(s) - cornish , computation , normalization (sociology) , algebra over a field , mathematics , symbolic computation , inverse , simple (philosophy) , calculus (dental) , pure mathematics , algorithm , mathematical analysis , geometry , medicine , philosophy , linguistics , dentistry , epistemology , sociology , anthropology
Summary The paper gives a simple derivation based on elementary statistics for the Cornish—Fisher expansion. The method simplifies greatly the algebra in working out the polynomials involved both in the normalization and in the inverse expansions. The derivation also leads to recursive formulae which yield powerful algorithms for numerical computation of the expansion.