Rearranging edgeworth-cornish-fisher expansions

Victor Chernozhukov; Iván Fernández-Val; Alfred Galichon

doi:10.1007/s00199-008-0431-z

Rearranging edgeworth-cornish-fisher expansions

Victor Chernozhukov, Iván Fernández-Val, Alfred Galichon

Research output: Contribution to journal › Article › peer-review

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. In addition to satisfying 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.

Original language	English (US)
Pages (from-to)	419-435
Number of pages	17
Journal	Economic Theory
Volume	42
Issue number	2
DOIs	https://doi.org/10.1007/s00199-008-0431-z
State	Published - Nov 2009

Keywords

Cornish-Fisher expansion
Edgeworth expansion
Higher order central limit theorem
Rearrangement

ASJC Scopus subject areas

Economics and Econometrics

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10.1007/s00199-008-0431-z

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title = "Rearranging edgeworth-cornish-fisher expansions",

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. In addition to satisfying 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 = "Cornish-Fisher expansion, Edgeworth expansion, Higher order central limit theorem, Rearrangement",

author = "Victor Chernozhukov and Iv{\'a}n Fern{\'a}ndez-Val and Alfred Galichon",

note = "Funding Information: Chernozhukov and Fern{\'a}ndez-Val gratefully acknowledge research support from the National Science Foundation. Galichon{\textquoteright}s research is partly supported by chaire X-Dauphine-EDF-Calyon “Finance et D{\'e}veloppement Durable”.",

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AU - Chernozhukov, Victor

AU - Fernández-Val, Iván

AU - Galichon, Alfred

N1 - Funding Information: Chernozhukov and Fernández-Val gratefully acknowledge research support from the National Science Foundation. Galichon’s research is partly supported by chaire X-Dauphine-EDF-Calyon “Finance et Développement Durable”.

PY - 2009/11

Y1 - 2009/11

N2 - 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. In addition to satisfying 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.

AB - 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. In addition to satisfying 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.

KW - Cornish-Fisher expansion

KW - Edgeworth expansion

KW - Higher order central limit theorem

KW - Rearrangement

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ER -

Rearranging edgeworth-cornish-fisher expansions

Abstract

Keywords

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