A limit formula and a series expansion for the bivariate Normal tail probability
This work presents a limit formula for the bivariate Normal tail probability. It only requires the larger threshold to grow indefinitely, but otherwise has no restrictions on how the thresholds grow. The correlation parameter can change and possibly depend on the thresholds. The formula is applic...
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| Format: | Journal Article |
| Language: | English |
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2024
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| Online Access: | https://hdl.handle.net/10356/178833 |