Rearranging Edgeworth-Cornish-Fisher expansions

DOI10.1007/s00199-008-0431-zzbMath1183.91136arXiv0708.1627OpenAlexW2078261803MaRDI QIDQ847815

Victor Chernozhukov, Iván Fernández-Val, Alfred Galichon

Publication date: 19 February 2010

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.1627

zbMATH Keywords

rearrangementCornish-Fisher expansionEdgeworth expansionhigher order central limit theorem

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (7)

Posterior moments and quantiles for the normal location model with Laplace prior ⋮ Rationalization and identification of binary games with correlated types ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR} ⋮ Fourier-cosine method for ruin probabilities ⋮ Comparing VaR Approximation Methods that Use the First Four Moments as Inputs ⋮ Equimeasurable Rearrangements with Capacities

Cites Work

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• Asymptotic Statistics
• Regions of positive and unimodal series expansion of the Edgeworth and Gram-Charlier approximations
• The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal
• An Inequality for Rearrangements
• The bootstrap and Edgeworth expansion
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