PDQ Functions via Gram Charlier, Edgeworth, and Cornish Fisher Approximations

Installation

This package may be installed from CRAN; the latest development version may be installed via drat, or built from github:

# install via CRAN:
install.packages("PDQutils")
# get latest dev release via drat:
if (require(drat)) {
    drat:::add("shabbychef")
    install.packages("PDQutils")
}
# get snapshot from github (may be buggy)
if (require(devtools)) {
    install_github("shabbychef/PDQutils")
}

Basic Usage

Approximating the distribution of a random variable via the Gram Charlier, Edgeworth, or Cornish Fisher expansions is most convenient when the random variable can be decomposed as the sum of a small number of independent random variables whose cumulants can be computed. For example, suppose