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mir.stat.distribution.cornish_fisher

This module contains algorithms for the Cornish-Fisher Expansion.
License:
Apache-2.0
Authors:
John Michael Hall
T cornishFisherInvCDF(T)(const T p, const T mu, const T std, const T skewness, const T excessKurtosis)
if (isFloatingPoint!T);
Approximates the inverse CDF of a continuous distribution using the Cornish-Fisher expansion.
It is generally recommended to only use the Cornish-Fisher expansion with distributions that are similar to the normal distribution. Extreme values of skewness or excessKurtosis can result in poorer approximations.
Parameters:
T p quantile to calculate inverse CDF
T mu mean
T std standard deviation
T skewness skewness
T excessKurtosis excess kurtosis (kurtosis - 3)
See Also:
Cornish-Fisher Expansion
Examples: 
import mir.test: shouldApprox;

0.99.cornishFisherInvCDF(0, 1, 0.1, 1).shouldApprox == 2.629904;
0.99.cornishFisherInvCDF(0.1, 0.2, 0.1, 1).shouldApprox == 0.6259808;
T cornishFisherInvCDF(T)(const T p, const T skewness = 0, const T excessKurtosis = 0)
if (isFloatingPoint!T);
Ditto, but assumes mu = 0 and std = 1
Parameters:
T p quantile to calculate inverse CDF
T skewness skewness (default = 0)
T excessKurtosis excess kurtosis (kurtosis - 3) (default = 0)
Examples: 
import mir.test: shouldApprox;

0.5.cornishFisherInvCDF.shouldApprox == 0;
0.5.cornishFisherInvCDF(1).shouldApprox == -0.1666667;
0.5.cornishFisherInvCDF(-1, 0).shouldApprox == 0.1666667;

0.9.cornishFisherInvCDF(0.1, 0).shouldApprox == 1.292868;
0.9.cornishFisherInvCDF(0.1, 1).shouldApprox ==  1.220374;
0.9.cornishFisherInvCDF(0.1, -1).shouldApprox == 1.365363;

0.99.cornishFisherInvCDF(0.1, 0).shouldApprox == 2.396116;
0.99.cornishFisherInvCDF(0.1, 1).shouldApprox == 2.629904;
0.99.cornishFisherInvCDF(0.1, -1).shouldApprox == 2.162328;

0.01.cornishFisherInvCDF(0.1, 0).shouldApprox == -2.249053  ;
0.01.cornishFisherInvCDF(0.1, 1).shouldApprox == -2.482841;
0.01.cornishFisherInvCDF(0.1, -1).shouldApprox == -2.015265;