Rearranging Edgeworth–Cornish–Fisher expansions

被引：1
|
作者：
Victor Chernozhukov
Iván Fernández-Val
Alfred Galichon
机构：
[1] Massachusetts Institute of Technology,Department of Economics and Operations Research Center
[2] Boston University,Department of Economics
[3] Ecole Polytechnique,Department of Economics
来源：
Economic Theory | 2010年 / 42卷
关键词：
Edgeworth expansion; Cornish–Fisher expansion; Rearrangement; Higher order central limit theorem; D10; C50;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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. In addition to satisfying 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.
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页码：419 / 435
页数：16
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