Rearranging Edgeworth–Cornish–Fisher expansions
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.
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Volume (Year): 42 (2010)
Issue (Month): 2 (February)
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- Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007.
"Improving estimates of monotone functions by rearrangement,"
CeMMAP working papers
CWP09/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Improving Estimates Of Monotone Functions By Rearrangement," Boston University - Department of Economics - Working Papers Series WP2007-012, Boston University - Department of Economics.
- Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Improving Estimates of Monotone Functions by Rearrangement," Papers 0704.3686, arXiv.org, revised Nov 2010.
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