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On the Evaluation of Probabilities of Convex Polyhedra under Multivariate Normal and t Distributions

✍ Scribed by S. John


Book ID
125789179
Publisher
Blackwell Publishing
Year
1966
Tongue
English
Weight
862 KB
Volume
28
Category
Article
ISSN
0035-9246

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A Formula for the Tail Probability of a
✍ JΓΌrg HΓΌsler; Regina Y. Liu; Kesar Singh πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 113 KB

An exact asymptotic formula for the tail probability of a multivariate normal distribution is derived. This formula is applied to establish two asymptotic results for the maximum deviation from the mean: the weak convergence to the Gumbel distribution of a normalized maximum deviation and the precis