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.
Authors
Journal article details
- Publisher
- Springer International Publishing
- Issue
- February 2010
Suggested citation
V, Chernozhukov and I, Fernandez-Val and A, Galichon. (2010). 'Rearranging Edgeworth-Cornish-Fisher expansions' (2010)
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