399 citations · 620 across the 11 of their papers we have counts for
3 papers · 1 filter
Rearranging Edgeworth-Cornish-Fisher Expansions
Victor Chernozhukov, Ivan Fernandez-Val, Alfred Galichon
This paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and any other related approximations of distribu…
Improving Estimates of Monotone Functions by Rearrangement
Victor Chernozhukov, Ivan Fernandez-Val, Alfred Galichon
Suppose that a target function is monotonic, namely, weakly increasing, and an original estimate of the target function is available, which is not weakly increasing. Many common es…
Quantile and Probability Curves Without Crossing
Victor Chernozhukov, Ivan Fernandez-Val, Alfred Galichon
This paper proposes a method to address the longstanding problem of lack of monotonicity in estimation of conditional and structural quantile functions, also known as the quantile…