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Cornish-Fisher Asymptotic Expansion


\begin{displaymath}
y\approx m+\sigma w,
\end{displaymath}

where
$\displaystyle w$ $\textstyle =$ $\displaystyle x+[\gamma_1h_1(x)]+[\gamma_2 h_2(x)+{\gamma_1}^2 h_{11}(x)]$  
  $\textstyle \phantom{=}$ $\displaystyle +[\gamma_3h_3(x)+\gamma_1\gamma_2h_{12}(x)+{\gamma_1}^3h_{111}(x)]$  
  $\textstyle \phantom{=}$ $\displaystyle +[\gamma_4h_4(x)+{\gamma_2}^2 h_{22}(x)+\gamma_1\gamma_3 h_{13}(x)$  
  $\textstyle \phantom{=}$ $\displaystyle +{\gamma_1}^2\gamma_2 h_{112}(x)+{\gamma_1}^4h_{1111}(x)]+\ldots,$  

where
$\displaystyle h_1(x)$ $\textstyle =$ $\displaystyle {\textstyle{1\over 6}} \mathop{\rm He}\nolimits_2(x)$  
$\displaystyle h_2(x)$ $\textstyle =$ $\displaystyle {\textstyle{1\over 24}} \mathop{\rm He}\nolimits_3(x)$  
$\displaystyle h_{11}(x)$ $\textstyle =$ $\displaystyle -{\textstyle{1\over 36}} [2\mathop{\rm He}\nolimits_3(x)+\mathop{\rm He}\nolimits_1(x)]$  
$\displaystyle h_{3}(x)$ $\textstyle =$ $\displaystyle {\textstyle{1\over 120}} \mathop{\rm He}\nolimits_4(x)$  
$\displaystyle h_{12}(x)$ $\textstyle =$ $\displaystyle -{\textstyle{1\over 24}} [\mathop{\rm He}\nolimits_4(x)+\mathop{\rm He}\nolimits_2(x)]$  
$\displaystyle h_{111}(x)$ $\textstyle =$ $\displaystyle {\textstyle{1\over 324}} [12\mathop{\rm He}\nolimits_4(x)+19\mathop{\rm He}\nolimits_2(x)]$  
$\displaystyle h_4(x)$ $\textstyle =$ $\displaystyle {\textstyle{1\over 720}}\mathop{\rm He}\nolimits_5(x)$  
$\displaystyle h_{22}(x)$ $\textstyle =$ $\displaystyle -{\textstyle{1\over 384}} [3\mathop{\rm He}\nolimits_5(x)+6\mathop{\rm He}\nolimits_3(x)+2\mathop{\rm He}\nolimits_1(x)]$  
$\displaystyle h_{13}(x)$ $\textstyle =$ $\displaystyle -{\textstyle{1\over 180}}[2\mathop{\rm He}\nolimits_5+3\mathop{\rm He}\nolimits_3(x)]$  
$\displaystyle h_{112}(x)$ $\textstyle =$ $\displaystyle {\textstyle{1\over 288}}[14\mathop{\rm He}\nolimits_5(x)+37\mathop{\rm He}\nolimits_3(x)+8\mathop{\rm He}\nolimits_1(x)]$  
$\displaystyle h_{1111}(x)$ $\textstyle =$ $\displaystyle -{\textstyle{1\over 7776}} [252\mathop{\rm He}\nolimits_5(x)+832\mathop{\rm He}\nolimits_3(x)+227\mathop{\rm He}\nolimits_1(x)].$  

See also Edgeworth Series, Gram-Charlier Series


References

Abramowitz, M. and Stegun, C. A. (Eds.). Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, 9th printing. New York: Dover, p. 935, 1972.




© 1996-9 Eric W. Weisstein
1999-05-25