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) |
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Pages (from-to) | 419-435 |
Number of pages | 17 |
Journal | Economic Theory |
Volume | 42 |
Issue number | 2 |
DOIs | |
State | Published - Nov 2009 |
Keywords
- Cornish-Fisher expansion
- Edgeworth expansion
- Higher order central limit theorem
- Rearrangement
ASJC Scopus subject areas
- Economics and Econometrics