Approximate a distribution in terms of a Normal Distribution. Let
(1) |
See also Cornish-Fisher Asymptotic Expansion, 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.
Kenney, J. F. and Keeping, E. S. Mathematics of Statistics, Pt. 2, 2nd ed.
Princeton, NJ: Van Nostrand, p. 108, 1951.