Title: Inequalities for tail probabilities for the multivariate normal distribution
Abstract:Abstract Inequalities for tail probabilities of the multivariate normal distribution are obtained, as a generalization of those given by Feller (1966). Upper and lower bounds are given in the equi-cor...Abstract Inequalities for tail probabilities of the multivariate normal distribution are obtained, as a generalization of those given by Feller (1966). Upper and lower bounds are given in the equi-correlated case. For an arbitrary correlation matrix R, an upper bound is obtained, using a result of Slepian (1962) which asserts that certain multivariate normal probabilities are a non-decreasing function of correlations. Keywords: Mill’s ratiogeneralized to multivariate casebounds for multivariate normal probabilitiesRead More
Publication Year: 1976
Publication Date: 1976-01-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 4
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot