Non-asymptotic results for Cornish--Fisher expansions
Statistics Theory
2017-03-06 v1 Statistics Theory
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.
Keywords
Cite
@article{arxiv.1604.00539,
title = {Non-asymptotic results for Cornish--Fisher expansions},
author = {V. V. Ulyanov and M. Aoshima and Y. Fujikoshi},
journal= {arXiv preprint arXiv:1604.00539},
year = {2017}
}
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8 pages