A geometric approach to an asymptotic expansion for large deviation probabilities of Gaussian random vectors
type: Item
instance of: scholarly article
title: A geometric approach to an asymptotic expansion for large deviation probabilities of Gaussian random vectors
zbMATH Open document ID: 0864.41026
published in: Journal of Multivariate Analysis
publication date: 1996-12-08T00:00:00Z
review text: For the probabilities of large deviations of Gaussian random vectors an asymptotic expansion is derived. The approach of calculating higher-order coefficients is based on studying the behaviour of surface integrals near the points where the normal density is maximal. The main idea is combining considerations concerning global and local geometric properties of Gaussian laws and large deviation domains.
Mathematics Subject Classification ID: 41A60
Mathematics Subject Classification ID: 41A63
Mathematics Subject Classification ID: 60F10
zbMATH DE Number: 954544
zbMATH Keywords: asymptotic expansions
zbMATH Keywords: Gaussian distribution
zbMATH Keywords: local geometric properties
zbMATH Keywords: geometric representation
zbMATH Keywords: large deviations
zbMATH Keywords: normal distribution
zbMATH Keywords: Watson's lemma
author: Karl W. Breitung
author: Wolf-Dieter Richter
reviewed by: Nico M. Temme
MaRDI profile type: Publication
OpenAlex ID: W2041900565
DOI: 10.1006/JMVA.1996.0036
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description: scientific article; zbMATH DE number 954544