Re: [R] Gram-Charlier series

From: Ernst Hansen <erhansen_at_math.ku.dk>
Date: Wed 22 Feb 2006 - 20:17:14 EST

Martin Maechler writes:
> >>>>> "AugS" == <Augusto.Sanabria@ga.gov.au>
> >>>>> on Wed, 22 Feb 2006 17:13:17 +1100 writes:
>
> AugS> Good day everyone,
>
> AugS> I want to use the Gram-Charlier series expansion to model
> AugS> some data. To do that, I need functions to:
>
> AugS> 1) Calculate 'n' moments from given data
> AugS> 2) Transform 'n' moments to 'n' central moments, or
> AugS> 3) Transform 'n' moments to 'n' cumulants
> AugS> 4) Calculate a number of Hermite polynomials
>
> AugS> Are there R-functions to do any of the above?
>
> I have functions to do "4)".

For a direct way to translate raw moments into cumulants, you may want to look at the methods from the book 'Symbolic Computation for Statistical Inference' by D. F. Andrews and J. E. Stafford. There is in fact an R-implementation of the methods available at

  http://fisher.utstat.toronto.edu/david/SCSI/RSCSI.html

Hope this helps,

Ernst Hansen
Department of Statistics
University of Copenhagen



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