Rearranging Edgeworth-Cornish-Fisher expansions

descriptionPublicationkeyboard_double_arrow_right Report , Article , Preprint , Other literature type , Research 06 Jan 2009Embargo end date: 01 Jan 2007 United States, France Publisher:The IFSJournal:Economic Theory, volume 42, pages 419-435 (issn: 0938-2259, eissn: 1432-0479,

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Authors: Chernozhukov, Victor; Fernndez-Val, Ivn; Galichon, Alfred;

doi: 10.1920/wp.cem.2007.1907 , 10.1007/s00199-008-0431-z , 10.48550/arxiv.0708.1627

arXiv: 0708.1627

handle: 10419/79274 , 1721.1/66640

Rearranging Edgeworth-Cornish-Fisher expansions

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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.

17 pages, 3 figures

Countries

United States, France

Related Organizations

Boston University
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École Polytechnique
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Keywords

FOS: Computer and information sciences, ddc:330, rearrangement, Statistische Verteilung, Econometrics (econ.EM), Schätztheorie, Cornish-Fisher expansion, higher order central limit theorem, Methodology (stat.ME), FOS: Economics and business, Edgeworth expansion, Statistical methods; economic indices and measures, Applications of statistics to economics, Theorie, Statistics - Methodology, Economics - Econometrics, jel: jel:C50, jel: jel:D10

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