tail-probabilities

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s-broda / QuadraticFormsMGHyp.jl
A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.
imhof quadratic-forms tail-probabilities expected-shortfall value-at-risk generalized-hyperbolic-distribution variance-gamma normal-inverse-gaussian students-t partial-moments saddlepoint-approximation inversion-formula
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