The Distribution of Quadratic Forms of Gaussian Vectors
β Scribed by Zorin, V. A.; Iyubimov, A. K.
- Book ID
- 118220739
- Publisher
- Society for Industrial and Applied Mathematics
- Year
- 1989
- Tongue
- English
- Weight
- 325 KB
- Volume
- 33
- Category
- Article
- ISSN
- 0040-585X
- DOI
- 10.1137/1133084
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π SIMILAR VOLUMES
We derive results on the asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. They appear in particular in delta-gamma models in financial risk management approximating portfolio returns. Quantile estimation corresponds to the estimation of the Value-at-Risk, which is a
We obtain the distribution of the sum of n random vectors and the distribution of their quadratic forms: their densities are expanded in series of Hermite and Laguerre polynomials. We do not suppose that these vectors are independent. In particular, we apply these results to multivariate quadratic f