On quadratic forms in multivariate generalized hyperbolic random vectors

DOI10.1093/BIOMET/ASAA067MaRDI QIDQ5022110zbMATH OpenOpenAlexWikidataFDO

Authors 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

characteristic functionconditional value-at-riskexpected shortfallsaddlepoint approximationtransform inversiontwo-stage least squares

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(2)

• Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review
• Estimation for multivariate normal rapidly decreasing tempered stable distributions

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