On multivariate Gaussian tails

Détails

ID Serval
serval:BIB_B291CF125C29
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
On multivariate Gaussian tails
Périodique
Annals of the Institute of Statistical Mathematics
Auteur⸱e⸱s
Hashorva E., Hüsler J.
ISSN
0020-3157
1572-9052 ([electronic])
Statut éditorial
Publié
Date de publication
2003
Peer-reviewed
Oui
Volume
55
Numéro
3
Pages
507-522
Langue
anglais
Résumé
Let {X-n, n greater than or equal to 1} be a sequence of standard Gaussian random vectors in IRd, d greater than or equal to 2. In this paper we derive lower and upper bounds for the tail probability P{X-n > t(n)} with t(n) is an element of IRd some threshold. We improve for instance bounds on Mills ratio obtained by Savage (1962, J. Res. Nat. Bur. Standards Sect. B, 66, 9396). Furthermore, we prove exact asymptotics under fairly general conditions on both X-n and t(n), as \\t(n)\\ --> infinity where the correlation matrix Sigma(n) of X-n may also depend on n.
Mots-clé
Multivariate Mills ratio, Gaussian random sequences, Tail asymptotics, Quadratic programming
Web of science
Création de la notice
03/09/2010 14:07
Dernière modification de la notice
20/08/2019 16:21
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