Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors.

DOI10.1016/S0047-259X(03)00100-3zbMath1185.62037MaRDI QIDQ1421875

Stefan R. Jaschke, Claudia Klüppelberg, Alexander M. Lindner

Publication date: 3 February 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

methodValue-at-RiskDelta--gammaQuadratic forms of Gaussian vectorsQuantile estimationTail behavior

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Production models (90B30)

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