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单词 Edgeworth series
释义

Edgeworth series

中文百科

埃奇沃斯级数

埃奇沃斯级数(Edgeworth series)是以爱尔兰经济学家埃奇沃斯来命名的。它和 Gram-Charlier A series 一样,是把一个随机变量的机率密度函数展成级数,级数中的每一项是用该随机变量的 cumulants 来表达。对同一个分布,Gram-Charlier A series 和埃奇沃斯级数展出来是同样的级数,只是项的排列不同。(也因此只取前几项作为逼近时的误差会有所不同)

英语百科

Edgeworth series 埃奇沃斯级数

Density of the sample mean of three chi2 variables. The chart compares the true density, the normal approximation, and two edgeworth expansions

The Gram–Charlier A series (named in honor of Jørgen Pedersen Gram and Carl Charlier), and the Edgeworth series (named in honor of Francis Ysidro Edgeworth) are series that approximate a probability distribution in terms of its cumulants. The series are the same; but, the arrangement of terms (and thus the accuracy of truncating the series) differ.

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更新时间:2025/6/19 12:21:34