codecov-commenter
commented
2 years ago Codecov Report
Merging #61 (10e00ea) into master (d4c7ae4) will increase coverage by
0.00%. The diff coverage is100.00%.
@@ Coverage Diff @@
## master #61 +/- ##
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Coverage 99.93% 99.93%
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Files 23 24 +1
Lines 2976 3008 +32
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+ Hits 2974 3006 +32
Misses 2 2 | Impacted Files | Coverage Δ | |
|---|---|---|
| source/mir/stat/distribution/cornish_fisher.d | 100.00% <100.00%> (ø) |
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Adds the four-parameter Cornish-Fisher expansion, which is by far the most common from what I have seen. Wikipedia lists the five parameter version, but I think the additional value from more than four parameters would be pretty limited at the moment.
The reason I included this with the distributions is that it theoretically is possible to do the same thing for the PDF & CDF. There is R package that does this (here), but I couldn't find references for the exact formulas that they used and it the package is GPL licensed so I didn't feel comfortable using it here. They also use a slightly different formula that accounts for sample size (they also use the four parameter version). My implementation just uses the Wikipedia formula.