A geometric approach to an asymptotic expansion for large deviation probabilities of Gaussian random vectors

DOI10.1006/JMVA.1996.0036MaRDI QIDQ1817492zbMATH OpenOpenAlexFDO

Authors Karl W. Breitung, Wolf-Dieter Richter

Publication date 8 December 1996

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/e7a39dd99cbf3f1317231e332edbc76e9370b3ff

zbMATH Keywords

asymptotic expansionsGaussian distributiongeometric representationlarge deviationslocal geometric propertiesnormal distributionWatson's lemma

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Multidimensional problems (41A63) Large deviations (60F10)

Review text

For the probabilities of large deviations of Gaussian random vectors an asymptotic expansion is derived. The approach of calculating higher-order coefficients is based on studying the behaviour of surface integrals near the points where the normal density is maximal. The main idea is combining considerations concerning global and local geometric properties of Gaussian laws and large deviation domains.

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