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arXiv · 1309.4975

Gaussian Approximation of Perturbed Chi-Square Risks

Krzysztof Debicki·Enkelejd Hashorva·Lanpeng Ji
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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.

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Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji. 2013-09-19. Gaussian Approximation of Perturbed Chi-Square Risks. https://arxiv.org/abs/1309.4975

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