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Mean Standard Deviation Skewess Kurtosis: Set Kurtosis To 10 (Or Any Other Value Above The Maximum Kurtosis Value)

The document describes parameters for a normal distribution including the mean, standard deviation, skewness, and kurtosis. It then shows the Cornish-Fisher expansion, which provides an approximation of the distribution using those moments. However, setting the kurtosis too high above its maximum value given the skewness means the approximation is no longer valid.

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Alex Levithan
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42 views3 pages

Mean Standard Deviation Skewess Kurtosis: Set Kurtosis To 10 (Or Any Other Value Above The Maximum Kurtosis Value)

The document describes parameters for a normal distribution including the mean, standard deviation, skewness, and kurtosis. It then shows the Cornish-Fisher expansion, which provides an approximation of the distribution using those moments. However, setting the kurtosis too high above its maximum value given the skewness means the approximation is no longer valid.

Uploaded by

Alex Levithan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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Parameters CF Moments

Mean 0.5000 #ADDIN?


Standard Deviation 1.5000 #ADDIN?
Skewess -1.0000 #ADDIN?
Kurtosis 3.0000 #ADDIN?

Cornish-Fisher Expansion Normal DistributionFisher Expansion Set kurtosis to 10 (or


0.01 #ADDIN? -2.9895 #ADDIN? any other value above
the maximum kurtosis
0.05 #ADDIN? -1.9673 #ADDIN? value)
0.1 #ADDIN? -1.4223 #ADDIN?
0.15 #ADDIN? -1.0547 #ADDIN?
0.2 #ADDIN? -0.7624 #ADDIN?
0.25 #ADDIN? -0.5117 #ADDIN?
0.3 #ADDIN? -0.2866 #ADDIN?
0.35 #ADDIN? -0.0780 #ADDIN?
0.4 #ADDIN? 0.1200 #ADDIN?
0.45 #ADDIN? 0.3115 #ADDIN?
0.5 #ADDIN? 0.5000 #ADDIN?
0.55 #ADDIN? 0.6885 #ADDIN?
0.6 #ADDIN? 0.8800 #ADDIN?
0.65 #ADDIN? 1.0780 #ADDIN?
0.7 #ADDIN? 1.2866 #ADDIN?
0.75 #ADDIN? 1.5117 #ADDIN?
0.8 #ADDIN? 1.7624 #ADDIN?
0.85 #ADDIN? 2.0547 #ADDIN?
0.9 #ADDIN? 2.4223 #ADDIN?
0.95 #ADDIN? 2.9673 #ADDIN?
0.99 #ADDIN? 3.9895 #ADDIN?
Calibrated Parameters
#ADDIN? Is Cornish-Fisher Approximation valid?
#ADDIN? Maximum kurtosis value (given skewness)
#ADDIN? Minimum kurtosis value (given skewness)
#ADDIN?

Set kurtosis to 10 (or


any other value above
the maximum kurtosis
value) 1
0.9
0.8 Cornish-Fisher
Expansion
0.7
Normal Distribution
0.6
Calibrated Cornish-
0.5 Fisher Expansion
0.4
0.3
0.2
0.1
0
-5.0000 - 5.0000 10.0000 15.0000 20.0000 25.0000
#ADDIN?
#ADDIN?
#ADDIN?

20.0000 25.0000

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