Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
NormExpan has incorrect shapes with breaks with recent scipy.
This is a slightly different solution, than #1397 by @piannucci
(I guess it avoids args introspection in scipy)
plus some basic unittests for NormExpan.
I didn't find a Gram-Charlier expansion distribution in R seek. (either it doesn't exist or it has a different name)
plus small cleanup: move examples out of module
test coverage for the expansion is still low
I tried a few more things to check whether the results are roughly correct, limit on RMSE, check for fat tails if kurtosis > 0, check for asymmetry if skew > 0, but haven't added them. They would be very coarse checks that qualitatively the results look right.
related: Evgeni has Edgeworth Expansion in PR #1325 with more complete, explicit implementation of other distribution methods.