Gaussian Approximation of Perturbed Chi-Square Risks

Abstract

In this paper we show that the conditional distribution of perturbed chi-quare risks can be approximated by certain distributions including the Gaussian ones. Our results are of interest for conditional extreme value models and multivariate extremes as shown in three applications.

References in corpus (3)

• Estimation of bivariate excess probabilities for elliptical models
• Limit conditional distributions for bivariate vectors with polar representation
• Asymptotic Expansion of Gaussian Chaos via Probabilistic Approach

Cited by in corpus (1)

• Maxima of Skew Elliptical Triangular Arrays