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cornish-fisher expansion (110) 110
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International Journal of Electrical Power and Energy Systems, ISSN 0142-0615, 2009, Volume 31, Issue 9, pp. 474 - 481
This paper proposes a method for probabilistic load flow in networks with wind generation, where the uncertainty of the production is non-Gaussian. The method... 
Cornish–Fisher expansion series | Wind generation | Probabilistic load flow | Cumulants | Cornish-Fisher expansion series | ENGINEERING, ELECTRICAL & ELECTRONIC
Journal Article
IEEE Signal Processing Letters, ISSN 1070-9908, 04/2016, Volume 23, Issue 4, pp. 444 - 448
Journal Article
IEEE Transactions on Power Systems, ISSN 0885-8950, 11/2012, Volume 27, Issue 4, pp. 2251 - 2261
Journal Article
Journal of Futures Markets, ISSN 0270-7314, 12/2016, Volume 36, Issue 12, pp. 1194 - 1209
This paper revisits the pricing of options, in a context of financial stress, when the underlying asset's returns displays skewness and excess kurtosis. For... 
DISTRIBUTIONS | TESTS | BUSINESS, FINANCE | MARTINGALE RESTRICTION | VALUATION | MODELS | Kurtosis | Models | Forecasts and trends | Analysis | Pricing | Stock index options
Journal Article
The Journal of Real Estate Finance and Economics, ISSN 0895-5638, 5/2015, Volume 50, Issue 4, pp. 439 - 464
Journal Article
Applied Mathematics and Computation, ISSN 0096-3003, 04/2012, Volume 218, Issue 15, pp. 7947 - 7957
Cornish and Fisher (1937) [1] gave a fourth order approximation for the percentile of the F-distribution by approximating the cumulants of Z=1/2logF. We obtain... 
F distribution | Cornish–Fisher expansions | Percentile | Hill–Davis expansions | Cumulants | Approximations | Hill-Davis expansions | Cornish-Fisher expansions | MATHEMATICS, APPLIED | ASYMPTOTIC EXPANSIONS | QUANTILES | Mathematical models | Approximation | Normal distribution | Computation | Asymptotic properties | Mathematical analysis
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 2012, Volume 103, Issue 1, pp. 1 - 18
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 06/2016, Volume 45, Issue 11, pp. 3196 - 3205
This article is concerned with the derivation and study of the Cornish-Fisher expansion for a wide class of estimators of the parameter in the first order... 
Cornish-Fisher | 62M10 | First-order autoregression | Edgeworth expansion | 62E20 | 62G20 | Quantile | Economic models | Regression analysis | Statistics | Monte Carlo simulation | Quantiles | Approximation | Computer simulation | Asymptotic properties | Derivation | Estimators | Autoregressive processes
Journal Article
Journal of Risk, ISSN 1465-1211, 08/2015, Volume 17, Issue 6, pp. 51 - 72
Journal Article
IET Generation, Transmission and Distribution, ISSN 1751-8687, 2009, Volume 3, Issue 12, pp. 1031 - 1041
A method for solving a probabilistic power flow that deals with the uncertainties of (i) wind generation, (ii) load and (iii) generation availability in power... 
OPTIMAL POWER-FLOW | EXPANSIONS | PREDICTION | ENGINEERING, ELECTRICAL & ELECTRONIC
Journal Article
ANNALS OF STATISTICS, ISSN 0090-5364, 02/2018, Volume 46, Issue 1, pp. 438 - 456
We propose a new method, based on sample splitting, for constructing bootstrap confidence bounds for a parameter appearing in the regular smooth function... 
coverage error | Edgeworth polynomials | Confidence bounds | smooth function model | regression | SIZE | STATISTICS & PROBABILITY | sample splitting | Cornish-Fisher expansion
Journal Article
Bulletin of the Brazilian Mathematical Society, New Series, ISSN 1678-7544, 6/2011, Volume 42, Issue 2, pp. 213 - 242
Journal Article
Stochastics An International Journal of Probability and Stochastic Processes, ISSN 1744-2508, 09/2015, Volume 87, Issue 5, pp. 794 - 805
Journal Article
IEEE Transactions on Industrial Electronics, ISSN 0278-0046, 02/2019, Volume 66, Issue 2, pp. 1402 - 1412
Journal Article
Statistical Methodology, ISSN 1572-3127, 05/2013, Volume 12, pp. 1 - 15
Given a random sample X1,…,Xn in Rp from some distribution function F we define the partial sum empirical distribution function as Gn(x,t)=n−1∑i=1[nt]I(Xi≤x)... 
Cornish–Fisher expansions | Functional derivatives | Sequential tests | Kiefer process | Cornish-Fisher expansions | NONPARAMETRIC CONFIDENCE-INTERVALS | QUANTILES | STATISTICS & PROBABILITY
Journal Article
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