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Oxford Dictionary of Statistics:
Edgeworth expansion |
An expansion, derived by Edgeworth in 1905, that relates the probability density function, f, of a random variable, X, having expectation 0 and variance 1, to ϕ, the probability density function of a standard normal distribution, using the Chebyshev–Hermite polynomials. The first terms of the expansion are
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 | Oxford Dictionary of Statistics. A Dictionary of Statistics. Second edition revised. Copyright © Oxford University Press, 2008. All rights reserved. Read more |
