Email this article Non-Asymptotic Results for Cornish–Fisher Expansions*
- Authors: Ulyanov V.V.1, Aoshima M.2, Fujikoshi Y.3
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Affiliations:
- Faculty of Computational Mathematics and Cybernetics, Lomonosov Moscow State University and National Research University Higher School of Economics (HSE)
- Institute of Mathematics, University of Tsukuba
- Department of Mathematics, Hiroshima University
- Issue: Vol 218, No 3 (2016)
- Pages: 363-368
- Section: Article
- URL: https://journals.rcsi.science/1072-3374/article/view/238240
- DOI: https://doi.org/10.1007/s10958-016-3036-2
- ID: 238240
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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.
About the authors
V. V. Ulyanov
Faculty of Computational Mathematics and Cybernetics, Lomonosov Moscow State University and National Research University Higher School of Economics (HSE)
Author for correspondence.
Email: vulyanov@cs.msu.ru
Russian Federation, Moscow
M. Aoshima
Institute of Mathematics, University of Tsukuba
Email: vulyanov@cs.msu.ru
Japan, Tsukuba
Y. Fujikoshi
Department of Mathematics, Hiroshima University
Email: vulyanov@cs.msu.ru
Japan, Higashi-Hiroshima
