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 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.

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

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

The special function studied by Pearson is given, in his notation by,

$\omega _{2n}(x)=\omega _{0,n}(x).$

References

• Abramowitz, Milton; Stegun, Irene Ann, eds. (1983) [June 1964]. "Chapter 13". Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables. Applied Mathematics Series. Vol. 55 (Ninth reprint with additional corrections of tenth original printing with corrections (December 1972); first ed.). Washington D.C.; New York: United States Department of Commerce, National Bureau of Standards; Dover Publications. p. 510. ISBN 978-0-486-61272-0. LCCN 64-60036. MR 0167642. LCCN 65-12253.
• 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, 81 (548), The Royal Society: 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