Return the Gaussian expanded pdf function given the list of 1st, 2nd moment and skew and Fisher (excess) kurtosis.
Parameters: | mvsk : list of mu, mc2, skew, kurt
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Returns: | pdffunc : function
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Notes
Changed so it works only if four arguments are given. Uses explicit formula, not loop.
This implements a Gram-Charlier expansion of the normal distribution where the first 2 moments coincide with those of the normal distribution but skew and kurtosis can deviate from it.
In the Gram-Charlier distribution it is possible that the density becomes negative. This is the case when the deviation from the normal distribution is too large.
References
http://en.wikipedia.org/wiki/Edgeworth_series Johnson N.L., S. Kotz, N. Balakrishnan: Continuous Univariate Distributions, Volume 1, 2nd ed., p.30