Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors.

DOI10.1016/S0047-259X(03)00100-3zbMATH Open1185.62037MaRDI QIDQ1421875FDOQ1421875

Authors: Stefan R. Jaschke, Claudia Klüppelberg, Alexander Lindner 

Publication date: 3 February 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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• scientific article; zbMATH DE number 3909412

zbMATH Keywords

methodValue-at-RiskDelta--gammaQuadratic forms of Gaussian vectorsQuantile estimationTail behavior

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Production models (90B30)

Cites Work

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• Computing the distribution of quadratic forms in normal variables
• Distribution of Quadratic Forms in Normal Random Variables—Evaluation by Numerical Integration
• The Fourier-series method for inverting transforms of probability distributions
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• Densities with Gaussian Tails
• Approximations to Joint Distributions of Definite Quadratic Forms
• Some Bounds on the Distribution of Certain Quadratic Forms in Normal Random Variables
• Distribution of noncentral indefinite quadratic forms in complex normal variables
• Tail probabilities of noncentral quadratic forms
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Cited In (8)

• The expected shortfall of quadratic portfolios with heavy-tailed risk factors
• Sharp estimates for the CDF of quadratic forms of MPE random vectors
• Title not available (Why is that?)
• Accounting for risk of non linear portfolios. A novel Fourier approach
• Harmonic analysis, quadratic forms and asymptotic expansions of risk measures
• On serial posets with positive-definite quadratic Tits form.
• A tail inequality for quadratic forms of subgaussian random vectors
• On weak critical posets with respect to the positive definiteness of a quadratic Tits form.

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