Asymptotic approximations for multivariate integrals with an application to multinormal probabilities

DOI10.1016/0047-259X(89)90089-4zbMath0683.33003OpenAlexW2006172228MaRDI QIDQ1824740

M. Hohenbichler, Karl W. Breitung

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0047-259x(89)90089-4

zbMATH Keywords

Laplace methodMill's ratiomultinormal distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20)

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Cites Work

• Asymptotic approximations for multivariate integrals with an application to multinormal probabilities
• Asymptotics. II: Laplace's method for multiple integrals
• An asymptotic expansion for the multivariate normal distribution and Mills' ratio
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