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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 SeriesDate posted: August 15, 2007 ; Last revised: August 15, 2007Suggested CitationContact Information
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