Program for Estimating Uncertainties in Quantile Estimates Derived from Empirical Pearson Fits

摘要

Many authors have warned of the hazards involved in fitting Pearson curves on the basis of empirically determined moments. For the problem of estimating a percentage point of a Pearson curve on the basis of empirical moment estimates, the delta method easily yields an approximation to the variability of the estimated quantile. This report describes a crude computer program for assisting quantitatively the size of these hazards in the case of Pearson Type IV curves (an important family including the student t family as a boundary case).