Quantile of a Mixture
Other Statistics
2014-11-19 v1
Abstract
In this note, we give an explicit expression for the quantile of a mixture of two random variables. We carefully examine all possible cases of discrete and continuous variables with possibly unbounded support. The result is useful for finding bounds on the Value-at-Risk of risky portfolios when only partial information is available (Bernard and Vanduffel (2014)).
Cite
@article{arxiv.1411.4824,
title = {Quantile of a Mixture},
author = {Carole Bernard and Steven Vanduffel},
journal= {arXiv preprint arXiv:1411.4824},
year = {2014}
}