Rearranging Edgeworth-Cornish-Fisher Expansions
Methodology
2017-11-23 v2 Econometrics
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.
Keywords
Cite
@article{arxiv.0708.1627,
title = {Rearranging Edgeworth-Cornish-Fisher Expansions},
author = {Victor Chernozhukov and Ivan Fernandez-Val and Alfred Galichon},
journal= {arXiv preprint arXiv:0708.1627},
year = {2017}
}
Comments
17 pages, 3 figures