Re: a gaussian with skewness and kurtosis?

["Jeffrey Wang" <jwang@insightful.com>]

        The Gram-Charlier expansion (around a Gaussian density) can be used to 
obtain a distribution with arbitrary skewness and kurtosis. For a recent 
application in finance, please see:

Jondeau, E., and Rockinger, M. (2001): Gram-Charlier Densities, Journal of 
Economic Dynamics and Control, 25, 1457-1483.

        To answer the original poster's question: I am not aware of any S-Plus 
functions to do this. However, a related method, the SNP approach proposed by 
Gallant and Tauchen, is now available in S-Plus. If anyone is interested, I 
will be happy to share the code.

=*=*=*=*=*=*=*=*=*=*=*=*=*=*=*=*=*=*=*=*=*
Jeffrey Wang      Research Scientist
Insightful Corp.  (206) 802-2269