On multivariate Gaussian tails

DOI10.1007/BF02517804zbMath1050.62068MaRDI QIDQ1881414

Enkelejd Hashorva, Juerg Hüsler

Publication date: 5 October 2004

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

quadratic programming; tail asymptotics; Gaussian random sequences; multivariate Mills ratio

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62H99: Multivariate analysis

62E20: Asymptotic distribution theory in statistics

60E15: Inequalities; stochastic orderings

90C90: Applications of mathematical programming

90C20: Quadratic programming

Related Items

Tail order and intermediate tail dependence of multivariate copulas, Tail asymptotic results for elliptical distributions, Asymptotic properties of type I elliptical random vectors, Asymptotics for Kotz type III elliptical distributions, A note on multivariate Gaussian estimates, Asymptotics and bounds for multivariate Gaussian tails, Multiple maxima in multivariate samples

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On a lower bound for the multivariate normal Mills' ratio
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Lower bounds for the multivariate normal Mills' ratio
• Records from a multivariate normal sample
• A nonsymmetric correlation inequality for Gaussian measure
• Compound Poisson approximation of the number of exceedances in Gaussian sequences
• Identification of the parameters of a trivariate normal vector by the distribution of the minimum
• Maxima of normal random vectors: Between independence and complete dependence
• Mill's ratio for multivariate normal distributions
• Foundations of Modern Probability
• On asymptotics of multivariate integrals with applications to records