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PDQutils (version 0.1.1)

PDQ Functions via Gram Charlier, Edgeworth, and Cornish Fisher Approximations

Description

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.

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Install

install.packages('PDQutils')

Monthly Downloads

381

Version

0.1.1

License

LGPL-3

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Repository

https://github.com/shabbychef/PDQutils

Maintainer

Steven E. Pav

Last Published

February 26th, 2015

Functions in PDQutils (0.1.1)

PDQutils

PDQ Functions via Gram Charlier, Edgeworth, and Cornish Fisher Approximations

dapx_gca

Approximate density and distribution via Gram-Charlier A expansion.

qapx_cf

Approximate quantile via Cornish-Fisher expansion.

AS269

Higher order Cornish Fisher approximation.

dapx_edgeworth

Approximate density and distribution via Edgeworth expansion.

cumulant2moment

Convert raw cumulants to moments.

moment2cumulant

Convert moments to raw cumulants.

rapx_cf

Approximate random generation via Cornish-Fisher expansion.