The OpenD Programming Language

mir.stat.distribution.cornish_fisher

mir stat distribution

This module contains algorithms for the Cornish-Fisher Expansion.

Members

Functions

cornishFisherInvCDF
T cornishFisherInvCDF(T p, T mu, T std, T skewness, T excessKurtosis)

Approximates the inverse CDF of a continuous distribution using the Cornish-Fisher expansion.

cornishFisherInvCDF
T cornishFisherInvCDF(T p, T skewness, T excessKurtosis)

Ditto, but assumes mu = 0 and std = 1

Meta

Source

See Source File

License

Apache-2.0

Authors

John Michael Hall

2022-3 Mir Stat Authors.

mir stat distribution modules
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