Quantile function expansion using regularly varying functions

DOI10.1007/s11009-017-9593-0zbMath1411.60020arXiv1705.09494OpenAlexW2748172396MaRDI QIDQ1739326

Eugene Seneta, Thomas Fung

Publication date: 26 April 2019

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.09494

zbMATH Keywords

asymptotic expansionquantile functionregularly varying functionsskew-slash distributionasymptotic tail dependencevariance-gamma distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)

Related Items (3)

Are random permutations spherically uniform? ⋮ Tail dependence functions of the bivariate Hüsler-Reiss model ⋮ Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case

Uses Software

• sn

Cites Work

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• On the approximation of the tail probability of the scalar skew-normal distribution
• The bivariate normal copula function is regularly varying
• Tail asymptotics for the bivariate skew normal
• An alternative multivariate skew-slash distribution
• Tail dependence for two skew slash distributions
• The Skew-Normal and Related Families
• Fitting the variance-gamma model to financial data
• The Variance Gamma Process and Option Pricing
• Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
• Regularly varying functions

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