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

DOI10.1016/S0047-259X(03)00100-3MaRDI QIDQ1421875zbMATH OpenFDO

Authors Stefan R. Jaschke, Claudia Klüppelberg, Alexander Lindner

Publication date 3 February 2004

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

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)

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

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• 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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