Mill's ratio for multivariate normal distributions
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Publication:3290196
DOI10.6028/jres.066B.011zbMath0105.12601MaRDI QIDQ3290196
Publication date: 1962
Published in: Journal of Research of the National Bureau of Standards Section B Mathematics and Mathematical Physics (Search for Journal in Brave)
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Remarks on compound Poisson approximation of Gaussian random sequences ⋮ On multivariate Gaussian tails ⋮ The multiplicative chaos of \(H=0\) fractional Brownian fields ⋮ Unique factorization of products of bivariate normal cumulative distribution functions ⋮ Evaluation of the normal distribution function ⋮ Efficient simulation for dependent rare events with applications to extremes ⋮ A new representation for multivariate tail probabilities ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ The problem of identification of parameters by the distribution of the maximum random variable: Solution for the trivariate normal case ⋮ Extremes of some Gaussian random interfaces ⋮ Approximation of some multivariate risk measures for Gaussian risks ⋮ Posterior agreement for large parameter-rich optimization problems ⋮ A note on the estimates of multivariate Gaussian probability ⋮ Large deviations of bivariate Gaussian extrema ⋮ Identification of parameters by the distribution of the maximum random variable: The general multivariate normal case. ⋮ A note on multivariate Gaussian estimates ⋮ Identification of the parameters of a trivariate normal vector by the distribution of the minimum ⋮ The problem of identification of parameters by the distribution of the maximum random variable
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