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shabbychef / fromo

Fast Robust Moments in R with Rcpp
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Compute running approximate quantiles #8

Closed shabbychef closed 8 years ago

shabbychef commented 8 years ago

Based on the cumulant code (c.f. #7), one should be able to compute approximate quantiles via the Cornish-Fisher expansion!

shabbychef commented 8 years ago

First stab in 50e3923, but tests against the gold standard are needed to establish correctness.

shabbychef commented 8 years ago

I think this is done.