Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79274
Year of Publication: 
2007
Series/Report no.: 
cemmap working paper No. CWP19/07
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
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.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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