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Original Title: Gram-Charlier para aproximar densidades

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Gram-Charlier para aproximar densidades

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DOI: 10.1007/s10910-006-9134-5

another PDF: A generalized Gram-Charlier expansion

Mario N. Berberan-Santos

Centro de Qumica-Fsica Molecular, Instituto Superior Tecnico, 1049-001 Lisboa, Portugal

E-mail: berberan@ist.utl.pt

An explicit formula relating the probability density function with its cumulants is

derived and discussed. A generalization of the Gram-Charlier expansion is presented,

allowing to express one PDF in terms of another. The coefficients of this general expan-

sion are explicitly obtained.

KEY WORDS: probability density function, cumulant, Gram-Charlier expansion,

Hermite polynomials

AMS subject classification: 60E10 characteristic functions; other transforms, 62E17

approximations to distributions (non-asymptotic), 62E20 asymptotic distribution theory

1. Introduction

the integral

M(t) = f(x) et x dx, (1)

where f(x) is the probability density function (PDF) of the random variable.

It is well known that if all moments are finite (this will be assumed through-

out the work), the moment-generating function admits a Maclaurin series expan-

sion [13],

tn

M(t) = mn , (2)

n!

n=0

mn = x n f(x) dx (n = 0, 1, . . . , ). (3)

585

0259-9791/07/1000-0585/0 2006 Springer Science+Business Media, Inc.

586 M.N. Berberan-Santos / Generalized gram-charlier expansion

K(t) = ln M(t), (4)

admits a similar expansion

tn

K(t) = n , (5)

n!

n=1

n = K (n)(0), (n = 1, 2, . . . , ). (6)

The recurrence relation for the moments, obtained from

tn tn

M(t) = mn = exp n (7)

n! n!

n=0 n=1

n

n

m n+1 = m n p p+1 . (8)

p

p=0

m1 = 1 ,

m2 = 12 + 2 ,

m3 = 13 + 31 2 + 3 ,

m4 = 14 + 612 2 + 322 + 41 3 + 4 , (9)

m5 = 15 + 1013 2 + 151 22 + 1012 3 + 102 3 + 51 4 + 5 ,

m6 = 16 + 1514 2 + 4512 22 + 1523 + 2013 3 + 601 2 3 + 1032

+1512 4 + 152 4 + 61 5 + 6 ,

Equation (8) can be solved for n+1 ,

n1

n

n+1 = m n+1 m n p p+1 . (10)

p

p=0

known [3]. The first four cumulants are

1 = m 1 = ,

2 = m 2 m 21 = 2 ,

(11)

3 = 2m 31 3m 1 m 2 + m 3 = 1 3 ,

4 = 6m 41 + 12m 21 m 2 3m 22 4m 1 m 3 + m 4 = 2 4 ,

M.N. Berberan-Santos / Generalized gram-charlier expansion 587

where 1 is the skewness and 2 is the kurtosis. Of all cumulants, only the second

is necessarily non-negative.

With the exception of the delta and normal cases, all PDFs have an infinite

number of non-zero cumulants [3,5].

A third canonical function of the PDF is the characteristic function [13],

defined by

(t) = f (x) eit x dx (12)

that is simply the Fourier transform of the PDF. The PDF can therefore be writ-

ten as the inverse Fourier transform of its characteristic function,

1

f(x) = F 1 [(t)] = (t) eit x dt. (13)

2

The characteristic function admits the Maclaurin expansion,

(it)n

(t) = mn . (14)

n!

n=0

(n) 1

(x) = (it)n eit x dx, (15)

2

where (n) (x) is the nth derivative of the delta function, termwise Fourier inver-

sion of equation (14) yields the following formal PDF expansion, obtained in a

different way by Gillespie [6]

m n (n)

f(x) = (1)n (x). (16)

n!

n=0

be defined,

C(t) = ln (t), (17)

whose series expansion gives

(it)n

C(t) = n . (18)

n!

n=1

tribution define the respective PDF, as follows from the above equations. It is

therefore of interest to know how to build the PDF from its moments (cumu-

lants). An obvious practical application is to obtain an approximate form of the

588 M.N. Berberan-Santos / Generalized gram-charlier expansion

that has received much attention for a long time (see [3] and references therein).

In this work, an explicit formula relating a PDF with its cumulants is

obtained, and its interest and limitations discussed. A generalization of the

Gram-Charlier expansion that allows to express a PDF in terms of another PDF

is obtained in two different ways. The procedure for the calculation of the coeffi-

cients of the general expansion is also given.

Using equations (13), (17), and (18), the PDF can be written as

1 (it)n

1

f(x) = F [e

C(t)

]= exp n exp (i xt) dt, (19)

2 n!

n=1

assuming that the series has a sufficiently large convergence radius. Taking into

account that the PDF is a real function, equation (19) can be simplified to give

1 t2 t4 t3

f(x) = exp 2 + 4 cos xt 1 t + 3 dt.(20)

2 2! 4! 3!

1 t2 t4 t3

f(x) = exp 2 + 4 cos xt 1 t + 3 dt. (21)

0 2! 4! 3!

Equations (20 and 21) explicitly relate a PDF with its cumulants and allow

at least formally its calculation from the cumulants, provided the series

involved are convergent in a sufficiently large integration range. Equation (20)

was previously obtained for one-sided PDFs [8] by means of analytical Laplace

transform real inversion [9].

If all cumulants but the first are zero, equation (20) yields the delta

function, as expected,

1

f(x) = cos [(x 1 )t] dt = (x 1 ) . (22)

2

M.N. Berberan-Santos / Generalized gram-charlier expansion 589

If it is assumed that all cumulants but the first two are zero, the result is

now the normal (or Gaussian) PDF, (x),

2

1 1 1 1 x

(x) = exp ( t)2 cos [(x )t] dt = exp .

2 2 2 2 2

(23)

tion of the delta and normal distributions, all PDFs have an infinite number of

nonzero cumulants, as proved by Marcinkiewicz [3,5].

for Hermite polynomials

tion, equation (23), is a compact form for its derivatives:

(n) 1 1 2 n

(x) = t exp ( t) cos (x )t +

n

dt. (24)

2 2 2

As a simple application of this result, take the Hermite polynomials, defined

by the Rodrigues formula,

2 dn x 2

Hn (x) = (1)n ex e . (25)

dx n

Using equation (24), a known integral representation for these polynomials

follows immediately,

(1)n x 2 n t2 n

Hn (x) = e t exp cos xt + dt

2 4 2

2n+1 x 2 n n

= e u exp u 2 cos 2xu du. (26)

0 2

Note that equation (24) also results from the identity for Fourier transforms

that enables to express the nth order derivative of a function in terms of its Fou-

rier transform,

(1)n

f (n)(x) = (it)n F [ f (x)] eit x dt, (27)

2

(n) (1)n

f (x) = t n Re i n F [ f (x)] eit x dt. (28)

2

590 M.N. Berberan-Santos / Generalized gram-charlier expansion

5. Gram-Charlier expansion

series) is an expansion of a PDF about a normal distribution with common

and (i.e., common cumulants 1 and 2 ) [3,10,11]. This expansion that finds

applications in many areas, including finance [12], analytical chemistry [13,14],

spectroscopy [15], fluid mechanics [16], and astrophysics and cosmology [17

19], can be straightforwardly obtained from equation (20). Indeed, taking into

account equation (23), equation (20) can be rewritten as

1 1 t 3 t 4

f(x) = exp ( t)2 cos (xt t) cos 3 exp 4 dt +

2 2 3! 4!

1 1 t3

exp ( t)2 sin (xt t) sin 3

2 2 3!

t4

exp 4 dt. (29)

4!

3 4 3

Expansion of cos 3 t3! exp 4 t4! and of sin 3 t3! exp

4

4 t4! about t = 0 gives

3 4

cos 3 t3! 5 t5! + exp 4 t4! 6 t6! + = 1+ 4!4 t 4 6!1 1032 + 6 t 6 +

5 6

3
4 (30)

sin 3 t3! 5 t5! + exp 4 t4! 6 t6! + = 3!3 t 3 5!5 t 5 +

5 6

and therefore, using equation (24), equation (29) becomes the Gram-Charlier

series,

3 4 5

f (x) = (x) (3) (x) + (4) (x) (5) (x)

3! 4! 5!

1

+ 1032 + 6 (6) (x) + (31)

6!

The terms of this series, including the respective numerical coefficients, are fre-

quently written as functions of the Hermite polynomials (cf. equations (2426)),

but the above form is much simpler for a general, unstandardized variable, com-

pare, e.g. with the explicit form of the coefficients given in [16,18]. The general

form of the coefficients in terms of cumulants, not found in [3,10,1319], is given

in the next section.

6. A general expansion

The derivation process of the preceding section can also be used to obtain

the expansion about a given PDF (x) with cumulants 10 , 20 , 30 , . . ., by noting

M.N. Berberan-Santos / Generalized gram-charlier expansion 591

that the nth order derivative of a PDF f (x) is (compare equation (24)),

(n) 1 n t2 t4 t3 n

f (x) = t exp 2 + 4 cos xt 1 t + 3 + dt.

2 2! 4! 3! 2

(32)

If the desired PDF f (x) has cumulants given by

n = n0 + n , (n = 1, 2, . . . , ), (33)

equation (20) becomes

n (n)

f (x) = (1)n (x), (34)

n!

n=0

where

0 = 1,

1 = 1 ,

2 = 12 + 2 ,

3 = 13 + 31 2 + 3 ,

(35)

4 = 14 + 612 2 + 322 + 41 3 + 4 ,

5 = 15 + 1013 2 + 151 22 + 1012 3 + 102 3 + 51 4 + 5 ,

6 = 16 + 1514 2 + 4512 22 + 1523 + 2013 3 + 601 2 3 + 1032

+1512 4 + 152 4 + 61 5 + 6 .

These relations have precisely the form of those that give the raw moments

in terms of the cumulants [cf. equations (9)]. That this must be so, becomes clear

if one chooses the delta function as the base PDF, in which case equation (34)

reduces to the formal expansion equation (16).

The coefficients of an expansion where n cumulants are matched are

obtained simply by dropping all terms containing k , with k n, in equations

(35). This provides in particular a systematic way to obtain the coefficients of the

Gram-Charlier expansion, equation (31), where (x) = (x) and 1 = 2 = 0:

0 = 1,

1 = 0,

2 = 0,

3 = 3 = 3 , (36)

4 = 4 = 4 ,

5 = 5 = 5 ,

6 = 1032 + 6 = 1032 + 6 .

592 M.N. Berberan-Santos / Generalized gram-charlier expansion

It has been argued [16] that in some cases it may not be appropriate to

match the variances in the Gram-Charlier series. This should then correspond to

the expansion with n = 1. In such a case, the form of the coefficients of equation

(34) becomes identical to the relations that give the central moments in terms of

the cumulants:

0 = 1,

1 = 0,

2 = 2 ,

3 = 3 , (37)

4 = 322 + 4 ,

5 = 102 3 + 5 ,

6 = 1523 + 1032 + 152 4 + 6

where 2 = 2 2 .

It may be noted that the PDF normalization condition applied to equation

(34) gives

n

(1)n (n) (x) dx = 0. (38)

n!

n=1

(n) (x) dx = (n1) (+) (n1) () = 0 (39)

given that for a continuous (x) the function and all its derivatives (n) (x)van-

ish as x goes to infinity.

The series in equation (34) is not necessarily convergent, even when

(x) = (x)[10]. Convergence is assured for square integrable PDFs when equa-

tion (34) coincides with a generalized Fourier series whose basis functions are

orthogonal eigenfunctions of a regular Sturm-Liouville problem [20].

n (n)

(t) = (1)n F (x) (40)

n!

n=0

or

(it)n (it)n

(t) = n F [(x)] = exp n 0(t), (41)

n! n!

n=0 n=1

M.N. Berberan-Santos / Generalized gram-charlier expansion 593

a compact derivation of equation (34) is as follows:

0

(t) = exp n = exp n exp n

n! n! n!

n=1

n=1 n=1

(it)n

= n F [(x)] . (42)

n!

n=0

(1)n (n)

f(x) = n (x) (x), (43)

n!

n=0

8. Conclusions

Equations (20) and (21) show the explicit connection between a PDF and

its cumulants, and allow a formal calculation of the PDF. Using these equations,

an integral representation of the Hermite polynomials was obtained, equation

(26). A generalization of the Gram-Charlier expansion was derived, equation

(34), and a general procedure for the determination of the respective coefficients

given.

References

[1] H. Poincare, Calcul des Probabilites, 2nd edn. (Gauthier-Villars, Paris, 1912).

[2] A. Papoulis and S.U. Pillai, Probability, Random Variables, and Stochastic Processes, 4th edn.

(McGraw-Hill, New York 2001).

[3] A. Stuart and J.K. Ord, Kendalls Advanced Theory of Statistics, 6th edn., Vol. 1 (Hodder

Arnold, London, 1994).

[4] R.A. Fisher, Proc. London Math. Soc. (Series 2) 30 (1929) 199.

[5] C.W. Gardiner, Handbook of Stochastic Methods, 2nd edn. (Springer-Verlag, Berlin, 1985).

[6] D.T. Gillespie, Am. J. Phys. 49 (1981) 552.

[7] P. Levy, Theorie de lAddition des Variables Aleatoires (Gauthier-Villars, Paris, 1954).

[8] M.N. Berberan-Santos, J. Math. Chem. in press.

[9] M.N. Berberan-Santos, J. Math. Chem. 38 (2005) 165.

[10] H. Cramer, Mathematical Methods of Statistics (Princeton University Press, Princeton, 1946,

19th printing, 1999).

594 M.N. Berberan-Santos / Generalized gram-charlier expansion

[11] The expansion is named after the Danish mathematician Jorgen P. Gram (18501916) and the

Swedish astronomer Carl V. L. Charlier (18621934). For historical accounts of the origin of

the cumulants and of the Gram-Charlier expansion, see A. Hald, Int. Stat. Rev. 68 (2000) 137,

and also A.W. Davies, Gram-Charlier Series, in: Encyclopedia of Statistical Sciences, 2nd edn.,

Vol. 3 (Wiley-Interscience, New York, 2005).

[12] E. Jondeau and M. Rockinger, J. Econ. Dyn. Control 25 (2001) 1457.

[13] J. Olive and J.O. Grimalt, Anal. Chim. Acta 249 (1991) 337.

[14] V.B. Di Marco and G.G. Bombi, J. Chromatogr. A 931 (2001) 1.

[15] M.C.M. OBrien, J. Phys.: Condens. Matter 4 (1992) 2347.

[16] A. Pelliccioni, Il Nuovo Cimento 20 (1997) 435.

[17] R. Juszkiewicz, D.H. Weinberg, P. Amsterdamski, M. Chodorowski and F. Bouchet, Astrophys.

J. 442 (1995) 39.

[18] S. Blinnikov and R. Moessner, Astron. Astrophys. Suppl. Ser. 130 (1998) 193.

[19] C.R. Contaldi, R. Bean and J. Magueijo, Phys. Lett. B 468 (1999) 189.

[20] D.A. McQuarrie, Mathematical Methods for Scientists and Engineers (University Science

Books, Sausalito, 2003).

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