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Rearranging Edgeworth-Cornish-Fisher expansions

Authors: Victor Chernozhukov , Ivan Fernandez-Val and Alfred Galichon
Date: 14 August 2007
Type: cemmap Working Paper, CWP19/07
DOI: 10.1920/wp.cem.2007.1907


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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Now published:
Victor Chernozhukov, Ivan Fernandez-Val and Alfred Galichon February 2010, Rearranging Edgeworth-Cornish-Fisher expansions, Journal article, Springer International Publishing

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