Rearranging Edgeworth-Cornish-Fisher Expansions

• Tác giả: Victor Chernozhukov, Ivan Fernandez-Val, Alfred Galichon
• Ngôn ngữ: eng
• Ký hiệu phân loại: 519.5 Statistical mathematics
• Thông tin xuất bản: 2007
• Bộ sưu tập: Metadata
• ID: 159173

Tóm tắt

Comment: 17 pages, 3 figuresThis 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.