Rearranging Edgeworth-Cornish-Fisher expansions
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Author
Contributions
- Fernǹdez-Val, Ivǹ - Contributor
- Galichon, Alfred - Contributor
- Massachusetts Institute of Technology. Dept. of Economics - Contributor
Publication
2007 - Massachusetts Institute of Technology, Dept. of Economics, Cambridge, MA, Massachusetts
Language
English
Word Count
5,500 words, Guess
Page Count
22 pages
Identifiers
- Internet Archiverearrangingedgew0720cher
- OCLC Control Number644562461
- Open LibraryOL24928330M
Description
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. Keywords: Edgeworth expansion, Cornish-Fisher expansion, rearrangement.
Subjects
Series Statement
- Working paper series / Massachusetts Institute of Technology, Dept. of Economics -- working paper 07-20
- Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 07-20.
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