A formula for the tail probability of a multivariate normal distribution and its applications

DOI10.1006/JMVA.2001.2031zbMATH Open1006.62047OpenAlexW2078647503MaRDI QIDQ700147FDOQ700147

J. Hüsler, Kesar Singh, Regina Y. Liu

Publication date: 30 September 2002

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

Full work available at URL: https://doi.org/10.1006/jmva.2001.2031

Recommendations

• On multivariate Gaussian tails
• Asymptotics and bounds for multivariate Gaussian tails
• Tail probabilities of the maxima of multilinear forms and their applications.
• scientific article
• A characterization of multivariate normal distribution and its application

zbMATH Keywords

multivariate normal distributiontail probabilitygrowth rateGumbel distributionmaximum deviation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• Extremes and related properties of random sequences and processes
• Title not available (Why is that?)
• Multivariate analysis by data depth: Descriptive statistics, graphics and inference. (With discussions and rejoinder)
• Title not available (Why is that?)

Cited In (12)

• Asymptotics of the norm of elliptical random vectors
• Kesar Singh's contributions to statistical methodology
• Asymptotic expansion of Gaussian chaos via probabilistic approach
• The almost sure limit theorem for the maxima and minima of strongly dependent Gaussian vector sequences
• Tail probabilities of the maxima of multilinear forms and their applications.
• On extremal behavior of Gaussian chaos
• Deep neural network expression of posterior expectations in Bayesian PDE inversion
• Comparison of inferential methods in partially identified models in terms of error in coverage probability
• A multivariate normal law for Turing's formulae
• Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
• Classification in general finite dimensional spaces with the \(k\)-nearest neighbor rule
• On multivariate Gaussian tails

This page was built for publication: A formula for the tail probability of a multivariate normal distribution and its applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q700147)