Rearranging Edgeworth-Cornish-Fisher Expansions

Victor Chernozhukov, Ivan Fernandez-Val and Alfred Galichon

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Abstract: This paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and any other related approximations of distribution and quantile functions of sample statistics. Besides satisfying the logical monotonicity, required of distribution and quantile functions, the procedure often delivers strikingly better approximations to the distribution and quantile functions of the sample mean than the original Edgeworth-Cornish-Fisher expansions.

Date: 2007-08, Revised 2013-05
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Published in Economic Theory February 2010, Volume 42, Issue 2, pp 419-435

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http://arxiv.org/pdf/0708.1627 Latest version (application/pdf)

Related works:
Journal Article: Rearranging Edgeworth–Cornish–Fisher expansions (2010)
Working Paper: Rearranging Edgeworth-Cornish-Fisher Expansions (2010)
Working Paper: Rearranging Edgeworth-Cornish-Fisher Expansions (2010)
Working Paper: Rearranging Edgeworth-Cornish-Fisher expansions (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0708.1627

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