An invariance property of marginal density and tail probability approximations for smooth functions (Q1181113)

Asymptotic approximations of marginal densities and tail probabilities for smooth functions of a continuous random vector in general fail to be invariant under transformations of the underlying random vector. This lack of invariance raised the complex issue of which choice of variables yields the most accurate approximations. We show that the density and tail probability approximations remain invariant under transformations of the underlying variables if the joint density of the transformed variables is specified.