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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Proceedings of the XXXII International Seminar on Stability Problems for Stochastic Models, Trondheim, Norway, June 16–21, 2014.
* This work was supported by RSCF grant No. 14–11–00364.
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Ulyanov, V.V., Aoshima, M. & Fujikoshi, Y. Non-Asymptotic Results for Cornish–Fisher Expansions*. J Math Sci 218, 363–368 (2016). https://doi.org/10.1007/s10958-016-3036-2
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DOI: https://doi.org/10.1007/s10958-016-3036-2