[R] Gram-Charlier series

[Ernst Hansen]

Martin Maechler writes:
 > >>>>> "AugS" ==   <Augusto.Sanabria at ga.gov.au>
 > >>>>>     on Wed, 22 Feb 2006 17:13:17 +1100 writes:
 > 
 >     AugS> Good day everyone,
 > 
 >     AugS> I want to use the Gram-Charlier series expansion to model
 >     AugS> some data. To do that, I need functions to:
 > 
 >     AugS> 1) Calculate 'n' moments from given data
 >     AugS> 2) Transform 'n' moments to 'n' central moments, or
 >     AugS> 3) Transform 'n' moments to 'n' cumulants
 >     AugS> 4) Calculate a number of Hermite polynomials
 > 
 >     AugS> Are there R-functions to do any of the above?
 > 
 > I have functions to do "4)".

For a direct way to translate raw moments into cumulants, you may want
to look at the methods from the book 'Symbolic Computation for
Statistical Inference' by D. F. Andrews and J. E. Stafford.  There is
in fact an R-implementation of the methods available at

  http://fisher.utstat.toronto.edu/david/SCSI/RSCSI.html


Hope this helps,

Ernst Hansen
Department of Statistics
University of Copenhagen