Rearranging Edgeworth-Cornish-Fisher expansions
By: Victor Chernozhukov, Ivǹ Fernǹdez-Val, Alfred Galichon
Contributors: Fernǹdez-Val, Ivǹ; Galichon, Alfred; Massachusetts Institute of Technology. Dept. of Economics
Series: Working paper series / Massachusetts Institute of Technology, Dept. of Economics -- working paper 07-20; Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 07-20.
Publisher: Massachusetts Institute of Technology, Dept. of Economics
Published: 2007
Place of publication: Cambridge, MA
Language: eng
Number of pages: 22
Description: 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. Keywords: Edgeworth expansion, Cornish-Fisher expansion, rearrangement.
Notes: "August 13, 2007."

Includes bibliographic reference (leaves 17-18).

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