The refined positive definite and unimodal regions for the Gram-Charlier and Edgeworth series expansion

DOI10.1155/2011/463097MaRDI QIDQ638152zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Fred A. Spiring

Publication date 9 September 2011

Published in Advances in Decision Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL http://hdl.handle.net/1993/30524

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Asymptotic distribution theory in statistics (62E20)

Review text

Summary: Gram-Charlier and Edgeworth series expansions are used in the field of statistics to approximate probability density functions. The expansions have proven useful but have experienced limitations due to the values of the moments that admit a proper probability density function. An alternative approach in developing the boundary conditions for the boundary of the positive region for both series expansions is investigated using Sturm's theorem. The result provides a more accurate representation of the positive region developed by others.

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Cites work

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Cited in

(6)

• The valid regions of Gram-Charlier densities with high-order cumulants
• Analytic expressions for the positive definite and unimodal regions of Gram-Charlier series
• Further exploration into the valid regions of Gram-Charlier densities
• The Edgeworth and Gram-Charlier densities
• Parametric testing for normality against bimodal and unimodal alternatives using higher moments
• Consistent non-Gaussian pseudo maximum likelihood estimators of spatial autoregressive models

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