Cunningham function

In statistics, the Cunningham function or Pearson–Cunningham function ω_m,n(x) is a generalisation of a special function introduced by Pearson (1906) and studied in the form here by Cunningham (1908). It can be defined in terms of the confluent hypergeometric function U, by

\displaystyle \omega_{m,n}(x) = \frac{e^{-x+\pi i (m/2-n)}}{\Gamma(1+n-m/2)}U(m/2-n,1+m,x).

The function was studied by Cunningham^[1] in the context of a multivariate generalisation of the Edgeworth expansion for approximating a probability density function based on its (joint) moments. In a more general context, the function is related to the solution of the constant-coefficient diffusion equation, in one or more dimensions.^[1]

The function ω_m,n(x) is a solution of the differential equation for X:^[1]

xX''+(x+1+m)X'+(n+\tfrac{1}{2}m+1)X.

The special function studied by Pearson is given, in his notation by,^[1]

\omega_{2n}(x) =\omega_{0,n}(x).

Notes

↑ 1.0 1.1 1.2 1.3 Cunningham (1908)

References

Abramowitz, Milton; Stegun, Irene A., eds. (1965), "Chapter 13", Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, New York: Dover, p. 510, ISBN 978-0486612720, MR 0167642 .
Cunningham, E. (1908), "The ω-Functions, a Class of Normal Functions Occurring in Statistics", Proceedings of the Royal Society of London. Series A, Containing Papers of a Mathematical and Physical Character (The Royal Society) 81 (548): 310–331, doi:10.1098/rspa.1908.0085, ISSN 0950-1207, JSTOR 93061
Pearson, Karl (1906), A mathematical theory of random migration, London, Dulau and co.
Whittaker, E. T.; Watson, G. N. (1963), A Course in Modern Analysis, Cambridge University Press, ISBN 978-0-521-58807-2 See exercise 10, chapter XVI, p. 353