A limit formula and recursive algorithm for multivariate Normal tail probability
This work develops a formula for the large threshold limit of multivariate Normal tail probability when at least one of the normalised thresholds grows indefinitely. Derived using integration by parts, the formula expresses the tail probability in terms of conditional probabilities involving one le...
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| Format: | Journal Article |
| Language: | English |
| Published: |
2025
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| Online Access: | https://hdl.handle.net/10356/181891 |