Cornish-Fisher expansions for Poisson and negative binomial processes
نویسندگان
چکیده
منابع مشابه
Cornish-fisher Expansions for Poisson and Negative Binomial Processes
Negative binomial and Poisson processes {X(t), t ≥ 0} have cumulants proportional to the rate λ. So, formal Cornish-Fisher expansions in powers of λ−1/2 are available for their cumulative distribution function and quantiles. If T is an independent random variable with cumulants proportional to γ then the cumulants of X(T ) are proportional to γ; so, CornishFisher expansions in powers of γ−1/2 a...
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2011
ISSN: 0973-9599
DOI: 10.31390/cosa.5.3.09