Rearranging Edgeworth-Cornish-Fisher Expansions

Details Rearranging Edgeworth-Cornish-Fisher Expansions Rearranging Edgeworth-Cornish-Fisher Expansions

2007-08-12

arxiv.org/abs/0708.1627v1

Statistics

Methodology

22 pages, 3 figures

Scientific paper

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.

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