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Rearranging Edgeworth-Cornish-Fisher Expansions

Victor Chernozhukov
Massachusetts Institute of Technology (MIT) - Department of Economics

Ivan Fernandez-Val
Boston University - Department of Economics

Alfred Galichon
Ecole Polytechnique, Paris - Department of Economic Sciences

August 13, 2007

MIT Department of Economics Working Paper No. 07-20

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. 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

JEL Classifications: J02, E20, P20

Working Paper Series

Date posted: August 15, 2007 ; Last revised: August 15, 2007

Suggested Citation

Chernozhukov, Victor, Fernandez-Val, Ivan and Galichon, Alfred, Rearranging Edgeworth-Cornish-Fisher Expansions (August 13, 2007). MIT Department of Economics Working Paper No. 07-20. Available at SSRN: http://ssrn.com/abstract=1007282


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Contact Information

Victor Chernozhukov (Contact Author)
Massachusetts Institute of Technology (MIT) - Department of Economics ( email )
50 Memorial Drive
Room E52-262f
Cambridge, MA 02142
United States
617-253-4767 (Phone)
617-253-1330 (Fax)
HOME PAGE: http://www.mit.edu/~vchern/
Ivan Fernandez-Val
Boston University - Department of Economics ( email )
270 Bay State Road
Boston, MA 02215
United States
HOME PAGE: http://people.mit.edu/ivanf
Alfred Galichon
Ecole Polytechnique, Paris - Department of Economic Sciences ( email )
75005 Paris France
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