A limit formula and a series expansion for the bivariate normal tail probability

DOI10.1007/S11222-024-10466-WMaRDI QIDQ6606946zbMATHFDO

Authors Siu-Kui Au

Publication date 17 September 2024

Published in Statistics and Computing (Search for Journal in Brave)

zbMATH Keywords

bivariate normal probabilityHashorva's formulaPlackett's identityRuben's formulaSalvage's condition

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cites work

• scientific article; zbMATH DE number 3539473 (Why is no real title available?)
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
• A Simple Approximation for Bivariate and Trivariate Normal Integrals
• A simple approximation to the bivariate normal distribution with large correlation coefficient
• An asymptotic expansion for the multivariate normal distribution and Mills' ratio
• Approximating Mills ratio
• Approximation of some multivariate risk measures for Gaussian risks
• Asymptotics and bounds for multivariate Gaussian tails
• Bivariate conditioning approximations for multivariate normal probabilities
• Calculation of univariate and bivariate normal probability functions
• Computation of the Trivariate Normal Integral
• INEQUALITIES FOR THE NORMAL INTEGRAL INCLUDING A NEW CONTINUED FRACTION
• Mill's ratio for multivariate normal distributions
• Mills' ratio: Monotonicity patterns and functional inequalities
• On multivariate Gaussian tails
• Some new approximations and proofs for Mills' ratio
• Tables for Computing Bivariate Normal Probabilities

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