Extreme events: blending PCA and ICA [26]

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Bullet points include: Cornish-Fisher (4th moment version) estimates distributional form from merely the first 4 moments, i.e. mean, standard deviation, skew and (excess) kurtosis. Regularly appears in risk management academic literature. For standardised returns (zero mean, unit standard deviation), quantile-quantile plot estimated via a cubic equation:

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