Algebraic Properties and Validity of Univariate and Multivariate Cornish–Fisher Expansion

Kei Takeuchi ()
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Kei Takeuchi: Professor Emeritus, The University of Tokyo

Chapter Chapter 15 in Contributions on Theory of Mathematical Statistics, 2020, pp 401-431 from Springer

Abstract: Abstract It has been long known that the degree of the polynomial of order $$n^{-k/2}$$ in Cornish–Fisher expansion is $$k+1$$ but the proof was not given. We establish a proof of the fact and generalize it to multivariate Cornish–Fisher expansion. We also establish the validity of Cornish–Fisher expansion.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-55239-0_15

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DOI: 10.1007/978-4-431-55239-0_15

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