Rearranging Edgeworth-Cornish-Fisher expansions

Victor Chernozhukov, Ivan Fernandez-Val () and Alfred Galichon

No CWP19/07, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

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: 2007-08-14
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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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 (2010)
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