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Let $\mathbf{X}_n = (X_{n,1}, \ldots, X_{n,n})$ be a $n$-dimensional random vector with $N_n( \mathbf{0}_n, \boldsymbol{\Sigma}_n )$ distribution. The asymptotic distribution of the $L_\infty$-norm of ...

Since it is known that Cornish Fisher expansion of quantiles does not have guaranteed convergence for all distribution, I wonder specifically if any convergence result is known in literature for CF ...