Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors.
type: Item
instance of: scholarly article
title: Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors.
zbMATH Open document ID: 1185.62037
DOI: 10.1016/S0047-259X(03)00100-3
author: Stefan R. Jaschke
author: Claudia Klüppelberg
author: Alexander Lindner
published in: Journal of Multivariate Analysis
publication date: 2004-02-03T00:00:00Z
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62H10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 90B30
zbMATH DE Number: 2037154
zbMATH Keywords: Quadratic forms of Gaussian vectors
zbMATH Keywords: Tail behavior
zbMATH Keywords: Delta--gamma
zbMATH Keywords: method
zbMATH Keywords: Value-at-Risk
zbMATH Keywords: Quantile estimation
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 2037154