A limit formula and recursive algorithm for multivariate Normal tail probability

• Main Author: Au, Siu-Kui
• Other Authors: School of Civil and Environmental Engineering
• Format: Article
• Language: English
• Published: 2025
• Subjects: Mathematical Sciences; Plackett’s identity; Rare event; Ruben’s formula; Salvage’s condition; Tail probability
• Online Access: https://hdl.handle.net/10356/181891
• Institution: Nanyang Technological University

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...