Rearranging Edgeworth-Cornish-Fisher Expansions

Victor Chernozhukov, Ivan Fernandez-Val and Alfred Galichon ()
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Alfred Galichon: ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique

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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: 2010
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Citations: View citations in EconPapers (4)

Published in Economic Theory, 2010, 42 (2), pp.419 - 435. ⟨10.1007/s00199-008-0431-z⟩

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Related works:
Working Paper: Rearranging Edgeworth-Cornish-Fisher Expansions (2013)
Journal Article: 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:hal:journl:hal-03588300

DOI: 10.1007/s00199-008-0431-z

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