Rearranging Edgeworth-Cornish-Fisher Expansions

23 Pages Posted: 15 Aug 2007 Last revised: 9 Apr 2011

See all articles by Victor Chernozhukov

Victor Chernozhukov

Massachusetts Institute of Technology (MIT) - Department of Economics; New Economic School

Iván Fernández‐Val

Boston University - Department of Economics

Alfred Galichon

NYU, Department of Economics and Courant Institute

Date Written: August 13, 2007

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 Classification: J02, E20, P20

Suggested Citation

Chernozhukov, Victor and Fernandez-Val, Ivan and Galichon, Alfred, Rearranging Edgeworth-Cornish-Fisher Expansions (August 13, 2007). Economic Theory, Vol. 42, No. 2, pp. 419-435, 2010, MIT Department of Economics Working Paper No. 07-20, Available at SSRN: https://ssrn.com/abstract=1007282

Victor Chernozhukov (Contact Author)

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Ivan Fernandez-Val

Boston University - Department of Economics ( email )

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Alfred Galichon

NYU, Department of Economics and Courant Institute ( email )

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