Gaussian Approximation of Perturbed Chi-Square Risks
classification
🧮 math.PR
stat.AP
keywords
conditionalgaussianperturbedrisksapplicationsapproximatedapproximationcertain
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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.
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