Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. (Q1421875)
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scientific article; zbMATH DE number 2037154
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| English | Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. |
scientific article; zbMATH DE number 2037154 |
Statements
Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. (English)
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3 February 2004
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Quadratic forms of Gaussian vectors
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Tail behavior
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Delta--gamma
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method
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Value-at-Risk
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Quantile estimation
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0.7467972636222839
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0.7381172776222229
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0.7379899024963379
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0.7365171909332275
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