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Asymptotics and Bounds for Multivariate Gaussian Tails

Hashorva, Enkelejd

In: Journal of Theoretical Probability, 2005, vol. 18, no. 1, p. 79-97

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    Titre
    • Asymptotics and Bounds for Multivariate Gaussian Tails
    Auteur
    • Hashorva, Enkelejd. Department of Statistics, University of Bern, Sidlerstrasse 5, 3012, Bern, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • Journal of Theoretical Probability, 2005, vol. 18, no. 1, p. 79-97. Kluwer Academic Publishers-Plenum Publishers
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:313651
    Summary
    Let {Xn, n ≥ 1} be a sequence of centered Gaussian random vectors in $${\mathbb R}^{d}$$ , d ≥ 2. In this paper we obtain asymptotic expansions (n → ∞) of the tail probability P{Xn >tn} with tn ɛ $${\mathbb R}^{d}$$ a threshold with at least one component tending to infinity. Upper and lower bounds for this tail probability and asymptotics of discrete boundary crossings of Brownian Bridge are further discussed