Expansions for multivariate densities | Publication

Title	Expansions for multivariate densities
Creator	Weng, Ruby C. 翁久幸
Contributor	統計系
Key Words	Gram–Charlier series; Edgeworth series; Hermite polynomials; Woodroofe–Stein’s identity
Date	2015-12
Date Issued	15-Jan-2016 15:08:36 (UTC+8)
Summary	The Gram–Charlier and Edgeworth series are expansions of probability distribution in terms of its cumulants. The expansions for the multivariate case have not been fully explored. This paper aims to develop the multivariate Gram–Charlier series by Woodroofe–Stein’s identity, and improve its approximation property by using the scaled normal density and Hermite polynomials. The series are useful to reconstruct the probability distribution from measurable higher moments.
Relation	Journal of Statistical Planning & Inference, 167, 174-181
Type	article
DOI	http://dx.doi.org/10.1016/j.jspi.2015.05.001

dc.contributor	統計系
dc.creator (作者)	Weng, Ruby C.
dc.creator (作者)	翁久幸	zh_TW
dc.date (日期)	2015-12
dc.date.accessioned	15-Jan-2016 15:08:36 (UTC+8)	-
dc.date.available	15-Jan-2016 15:08:36 (UTC+8)	-
dc.date.issued (上傳時間)	15-Jan-2016 15:08:36 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/80610	-
dc.description.abstract (摘要)	The Gram–Charlier and Edgeworth series are expansions of probability distribution in terms of its cumulants. The expansions for the multivariate case have not been fully explored. This paper aims to develop the multivariate Gram–Charlier series by Woodroofe–Stein’s identity, and improve its approximation property by using the scaled normal density and Hermite polynomials. The series are useful to reconstruct the probability distribution from measurable higher moments.
dc.format.extent	430360 bytes	-
dc.format.mimetype	application/pdf	-
dc.relation (關聯)	Journal of Statistical Planning & Inference, 167, 174-181
dc.subject (關鍵詞)	Gram–Charlier series; Edgeworth series; Hermite polynomials; Woodroofe–Stein’s identity
dc.title (題名)	Expansions for multivariate densities
dc.type (資料類型)	article
dc.identifier.doi (DOI)	10.1016/j.jspi.2015.05.001
dc.doi.uri (DOI)	http://dx.doi.org/10.1016/j.jspi.2015.05.001