[R] Gram-Charlier series

[Janusz Kawczak]

I believe this page includes more up to date version:
http://fisher.utstat.toronto.edu/david/Sym2004/Sym2004.html

Janusz.

On Wed, 22 Feb 2006, Ernst Hansen wrote:

> Martin Maechler writes:
>  > >>>>> "AugS" ==   <Augusto.Sanabria at 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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