Rearranging edgeworth-cornish-fisher expansions

Victor Chernozhukov, Iván Fernández-Val, Alfred Galichon

    Research output: Contribution to journalArticle

    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 languageEnglish (US)
    Pages (from-to)419-435
    Number of pages17
    JournalEconomic Theory
    Volume42
    Issue number2
    DOIs
    StatePublished - 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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  • Cite this

    Chernozhukov, V., Fernández-Val, I., & Galichon, A. (2009). Rearranging edgeworth-cornish-fisher expansions. Economic Theory, 42(2), 419-435. https://doi.org/10.1007/s00199-008-0431-z