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A remark on quadrant normal probabilities in high dimensions

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  • Rinott, Yosef
  • Rotar, Vladimir

Abstract

This paper provides an asymptotic evaluation of the quadrant probability P(Y1[less-than-or-equals, slant]b,...,Yt[less-than-or-equals, slant]b) as t-->[infinity], where the Yi's are exchangeable normals with a correlation [rho]. This probability is often represented as , where [Phi] is the standard normal distribution, and a=(1-[rho])/[rho].

Suggested Citation

  • Rinott, Yosef & Rotar, Vladimir, 2001. "A remark on quadrant normal probabilities in high dimensions," Statistics & Probability Letters, Elsevier, vol. 51(1), pages 47-51, January.
    • Handle: RePEc:eee:stapro:v:51:y:2001:i:1:p:47-51
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    References listed on IDEAS

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    1. Rinott, Yosef & Scarsini, Marco, 2000. "On the Number of Pure Strategy Nash Equilibria in Random Games," Games and Economic Behavior, Elsevier, vol. 33(2), pages 274-293, November.
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    Cited by:

    1. A. Stepanov, 2007. "The number of records within a random interval of the current record value," Statistical Papers, Springer, vol. 48(1), pages 63-79, January.
    2. E. de Klerk & D.V. Pasechnik & J.P. Warners, 2004. "On Approximate Graph Colouring and MAX-k-CUT Algorithms Based on the θ-Function," Journal of Combinatorial Optimization, Springer, vol. 8(3), pages 267-294, September.
    3. de Klerk, E. & Pasechnik, D.V. & Warners, J.P., 2004. "On approximate graph colouring and MAX-k-CUT algorithms based on the theta-function," Other publications TiSEM 7a6fbcee-93d0-4f7d-86be-b, Tilburg University, School of Economics and Management.
    4. Hashorva, Enkelejd, 2002. "Remarks on domination of maxima," Statistics & Probability Letters, Elsevier, vol. 60(1), pages 101-109, November.

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