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Large deviations of bivariate Gaussian extrema

van der Hofstad, R; Honnappa, H

van der Hofstad, R (reprint author), Eindhoven Univ Technol, POB 513, NL-5600 MB Eindhoven, Netherlands.

QUEUEING SYSTEMS, 2019; 93 (3-4): 333

Abstract

We establish sharp tail asymptotics for componentwise extreme values of bivariate Gaussian random vectors with arbitrary correlation between the compo......

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