Arbeitspapier
Rearranging Edgeworth-Cornish-Fisher expansions
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP19/07
- Klassifikation
-
Wirtschaft
- Thema
-
Schätztheorie
Statistische Verteilung
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chernozhukov, Victor
Fernández-Val, Iván
Galichon, Alfred
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2007
- DOI
-
doi:10.1920/wp.cem.2007.1907
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chernozhukov, Victor
- Fernández-Val, Iván
- Galichon, Alfred
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2007
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