Non-asymptotic results for Cornish--Fisher expansions
arXiv:1604.00539 · doi:10.1007/s10958-016-3036-2
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.
8 pages