A tail quantile approximation formula for the student t and the symmetric generalized hyperbolic distribution

Autor:	Schlüter, Stephan, Fischer, Matthias J.
Jazyk:	angličtina
Rok vydání:	2009
Předmět:	Generalized hyperbolic distribution Student t distribution ddc:330 Statistische Verteilung Quantile approximation Theorie
Popis:	Calculating a large number of tail probabilities or tail quantiles for a given distribution families becomes very challenging, if both the cumulative and the inverse distribution function are not available in closed form. In case of the Gaussian and Student t distribution, quantile approximations are already available. This is not the case for the (symmetric) generalized hyperbolic distribution (GHD) whose popularity steadily increases and which includes both Gaussian and Student t as limiting case. Within this paper we close this gap and derive one possible tail approximation formula for the GHD as well as for the Student t distribution.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od______1687::38ef0db555ad890cc5b038049f7c941a https://hdl.handle.net/10419/29554 Zobrazit plný text záznamu