On asymptotics of multivariate integrals with applications to records
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Cites work
- A nonsymmetric correlation inequality for Gaussian measure
- Approximate distributions of order statistics. With applications to nonparametric statistics
- Asymptotic approximations for multivariate integrals with an application to multinormal probabilities
- Asymptotic approximations for probability integrals
- Compound Poisson approximation of the number of exceedances in Gaussian sequences
- Concomitant tail behaviour for extremes
- Foundations of Modern Probability
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 41026 (Why is no real title available?)
- scientific article; zbMATH DE number 729453 (Why is no real title available?)
- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- Maxima of normal random vectors: Between independence and complete dependence
- On a best-choice problem by dependent criteria
- On multivariate extremal processes
- Random projections of regular polytopes
- Records from a multivariate normal sample
- Records in a partially ordered set
- The multivariate normal distribution
Cited in
(17)- Asymptotic properties of type I elliptical random vectors
- Extremal behavior of hitting a cone by correlated Brownian motion with drift
- Domination of sample maxima and related extremal dependence measures
- An asymptotic characterization of hidden tail credit risk with actuarial applications
- Approximation of some multivariate risk measures for Gaussian risks
- Asymptotics and bounds for multivariate Gaussian tails
- Remarks on domination of maxima
- On multivariate Gaussian tails
- An asymptotic series for an integral
- Asymptotic domination of sample maxima
- A procedure of linear discrimination analysis with detected sparsity structure for high-dimensional multi-class classification
- Large deviations of bivariate Gaussian extrema
- Asymptotics of multivariate conditional risk measures for Gaussian risks
- Multiple maxima in multivariate samples
- Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics
- Measuring risk contagion in financial networks with CoVaR
- Asymptotic independence in more than two dimensions and its implications on risk management
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