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Rearranging Edgeworth-Cornish-Fisher expansions

Authors: Victor Chernozhukov , Ivan Fernandez-Val and Alfred Galichon
Date: 01 February 2010
Type: Journal article, Economic Theory, Vol. 42, No. 2, pp. 419-435


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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Victor Chernozhukov, Ivan Fernandez-Val and Alfred Galichon August 2007, Rearranging Edgeworth-Cornish-Fisher expansions, cemmap Working Paper

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