EW-package: Edgeworth Expansion

In EW: Edgeworth Expansion

Description

This R-script provides a function EW which generate a polynomial function p_j(x) which approximate the error term of order of o(n^(-j/2)) in F_W_n minus Phi(x) i.e. We can estimate how fast this standardized Wn converges to N(0,1) using Sigma p_j(x)o(n^(-j/2)) This result is called Edgeworth Expansion in modern statistical asymptotic theory. Usage: EW(rvlist,miu,sigma,error,ord)__returns a polynomial function p_ord, assuming the r.v.s holds a mena of miu and a variance of sigma. error is the eps used to calculate the numerical derivation needed. EWplot(f)_______________________plot a graph showing the asymptotic manner of p_ord

Details

Package:	EW
Type:	Package
Title: This R-script calculates the polynomials in Edgeworth expansion up to order 2.
Version:	1.0
Date:	2015-04-27
Author:	H.R.Law
Maintainer:	Who to complain to <[e-mail]>
Description:	This R-script calculates the polynomials in Edgeworth expansion up to order 2.
License:	GPL

Author(s)

H.R.Law

References

[Jun Shao]Mathematical Statistics, revised ed, Springer:2003 P70-76, Sec1.5.6

Examples

data=rnorm(99,0,1)
fv=EW(data,ord=1)
EWplot(fv)

EW documentation built on May 2, 2019, 8:28 a.m.