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Results tagged with quantiles
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user 360713
The quantiles of a distribution refer to points on its cumulative distribution function. Some common quantiles are quartiles and percentiles.
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VaR from Bayesian GARCH / Quantile Estimation
The stochasticity of $\sigma_t$ complicates estimating the quantiles of $X_t$. … Indeed, these two approaches yield quite different results, especially for more extreme quantiles). …
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