Rearranging Edgeworth-Cornish-Fisher Expansions
23 Pages Posted: 15 Aug 2007 Last revised: 9 Apr 2011
Date Written: August 13, 2007
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: Suggested Citation