Victor Chernozhukov, Ivan Fernandez-Val, Alfred Galichon
arXiv 12 Aug 2007 · Statistics — Methodology · publishedEconomic Theory (2009) · 35 citations (OpenAlex)
arXiv:0708.1627 · PDF · DOI · OpenAlex · Extracted main text
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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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hall (1992) The bootstrap and Edgeworth expansion | 0.874 | 6 | 2 | 100% |
| 2 | van der Vaart (1998) Asymptotic statistics | 0.737 | 3 | 2 | 100% |
| 3 | Pollard (2002) A user's guide to measure theoretic probability | 0.511 | 2 | 1 | 100% |
| 4 | Zolotarev (1991) Asymptotic expansions with probability $1$ of sums of independent random variables | 0.511 | 2 | 1 | 100% |
| 5 | Cornish and Fisher (1938) Moments and Cumulants in the Specification of Distributions | 0.405 | 1 | 1 | 100% |
| 6 | Edgeworth (1905) The law of error | 0.405 | 1 | 1 | 100% |
| 7 | Edgeworth (1907) On the representatin of a statistical frequency by a series | 0.405 | 1 | 1 | 100% |
| 8 | Fisher and Cornish (1960) The percentile points of distributions having known cumulants | 0.405 | 1 | 1 | 100% |
| 9 | Hardy, Littlewood, and Pólya (1952) Inequalities | 0.405 | 1 | 1 | 100% |
| 10 | Rothenberg (1984) Approximating the Distributions of Econometric Estimators and Test Statistics | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 22 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Improving Point and Interval Estimates of Monotone Functions by Rearrangement | 0.405 | 1 | 1 |