多元广义双曲随机向量的二次型

Mathematics eJournal Pub Date : 2019-09-10 DOI:10.2139/ssrn.3369208

S. Broda, Juan Arismendi-Zambrano

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引用次数: 2

摘要

本文给出了多元广义双曲型随机向量的二次型尾概率和偏矩的精确近似表达式。这些推导包括对经典的分布函数反演公式的推广(Gil-Pelaez, 1951)。考虑了两阶段最小二乘估计量的分布和二次组合的期望缺口的两个数值应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors

This article presents exact and approximate expressions for tail probabilities and partial moments of quadratic forms in multivariate generalized hyperbolic random vectors. The derivations involve a generalization of the classic inversion formula for distribution functions (Gil-Pelaez, 1951). Two numerical applications are considered: the distribution of the two-stage least squares estimator and the expected shortfall of a quadratic portfolio.

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Mathematics eJournal

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