Description Usage Arguments Value Author(s) Examples
Estimate quantiles of random variable using Cornish-Fisher expansion
1 | cf_estimate_quantiles(cf_expansion_order, probabilities, cumulants)
|
cf_expansion_order |
order of CF expansion (= number of using cumulants) |
probabilities |
a numeric vector of probabilities |
cumulants |
a numeric vector of random variable cumulants |
a numeric vector of estimated quantiles
Maxim Yurchuk
1 2 3 4 5 6 7 8 9 | cf_order = 8
cumulants = rep(0, cf_order);
for (i in 1:cf_order)
cumulants[i] = (1/i)*factorial(i);
probabilities = seq(0.01, 0.99, 0.05)
estimated_quantiles= cf_estimate_quantiles(cf_order, probabilities, cumulants)
plot(probabilities, estimated_quantiles, "l",
main = "Cornish-Fisher approximation for exp(1) with order = 8",
xlab = "Probability", ylab = "Quantile")
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