Rearranging Edgeworth-Cornish-Fisher expansions

被引：20
作者：
Chernozhukov, Victor [2 ,3 ]
Fernandez-Val, Ivan [1 ]
Galichon, Alfred [4 ]
机构：
[1] Boston Univ, Dept Econ, Boston, MA 02215 USA
[2] MIT, Dept Econ, Cambridge, MA 02142 USA
[3] MIT, Ctr Operat Res, Cambridge, MA 02142 USA
[4] Ecole Polytech, Dept Econ, F-91128 Palaiseau, France
来源：
ECONOMIC THEORY | 2010年 / 42卷 / 02期
基金：
美国国家科学基金会;
关键词：
Edgeworth expansion; Cornish-Fisher expansion; Rearrangement; Higher order central limit theorem; REPRESENTATION;
D O I：
10.1007/s00199-008-0431-z
中图分类号：
F [经济];
学科分类号：
02 ;
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.
引用
收藏
页码：419 / 435
页数：17
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