Quantile function of a half-normal mixture distribution in quant analytics

Quantile function of a half-normal mixture distribution in quant analytics If X is a standard normal N(0,1), then |X| is a half-normal. I want to calculate the p-th percentile of an equal weighted mixture of |X| and -|X|. For example, the 5-th percentile of |X| is 0.0627, and the 5-th percentile of -|X| is -1.96. …

Quantile function of a half-normal mixture distribution in quant analytics Read More ┬╗