Non-asymptotic results for Cornish--Fisher expansions

Published 2 Apr 2016 in math.ST and stat.TH | (1604.00539v1)

Abstract: We get the computable error bounds for generalized Cornish-Fisher expansions for quantiles of statistics provided that the computable error bounds for Edgeworth-Chebyshev type expansions for distributions of these statistics are known. The results are illustrated by examples.

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