EW (version 1.1)

EW-package: Edgeworth Expansion

Description

This R-script provides a function EW which generate a polynomial function p_j(x) which approximate the error term of order of o(n^(-j/2)) in F_W_n minus Phi(x) i.e. We can estimate how fast this standardized Wn converges to N(0,1) using Sigma p_j(x)o(n^(-j/2)) This result is called Edgeworth Expansion in modern statistical asymptotic theory. Usage: EW(rvlist,miu,sigma,error,ord)__returns a polynomial function p_ord, assuming the r.v.s holds a mena of miu and a variance of sigma. error is the eps used to calculate the numerical derivation needed. EWplot(f)_______________________plot a graph showing the asymptotic manner of p_ord

Details

Package:

EW

Type:

Package

Title: This R-script calculates the polynomials in Edgeworth expansion up to order 2.

Version:

1.0

Date:

2015-04-27

Author:

H.R.Law

Maintainer:

Who to complain to <[e-mail]>

Description:

This R-script calculates the polynomials in Edgeworth expansion up to order 2.

License:

GPL

References

[Jun Shao]Mathematical Statistics, revised ed, Springer:2003 P70-76, Sec1.5.6

Examples

data=rnorm(99,0,1)
fv=EW(data,ord=1)
EWplot(fv)