Niall Anderson, Peter V. Hall, D. Michael Titterington
Abstract
We suggest a simple interpolation rule, based on Edgeworth and Cornish-Fisher expansions, which permits highly accurate numerical approximation in problems involving calculation of distributions or quantiles without requiring explicit calculation of terms in the expansions.
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We suggest a simple interpolation rule, based on Edgeworth and Cornish-Fisher expansions, which permits highly accurate numerical approximation in problems involving calculation of distributions or quantiles without requiring explicit calculation of terms in the expansions.
Key concepts: Mathematics, Interpolation (computer graphics), Simple (philosophy), Quantile, Applied mathematics, Edgeworth series, Cornish, Calculus (dental)