On quadratic forms in multivariate generalized hyperbolic random vectors

DOI10.1093/biomet/asaa067OpenAlexW3124637513WikidataQ115543069 ScholiaQ115543069MaRDI QIDQ5022110

Simon A. Broda, Juan Arismendi Zambrano

Publication date: 18 January 2022

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://mural.maynoothuniversity.ie/15005/1/JAZ-Quadratic-2020.pdf

zbMATH Keywords

saddlepoint approximationcharacteristic functionexpected shortfallconditional value-at-risktwo-stage least squarestransform inversion

Mathematics Subject Classification ID

Statistics (62-XX)

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