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Second order behaviour of the tail of a subordinated probability distribution

✍ Scribed by E. Omey; E. Willekens


Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
633 KB
Volume
21
Category
Article
ISSN
0304-4149

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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