What is closed form equation for the tail probability of multivariate normal distribution ?
y ~ $\mathcal{N}$($0$, $\sigma^2I_n$ ) ; y $\in\mathbb{R}^n$
Pr(y > $\gamma$) = $\int_\gamma^\infty$ pr(y) d y ; $\gamma\in\mathbb{R}$
-Sun
What is closed form equation for the tail probability of multivariate normal distribution ?
y ~ $\mathcal{N}$($0$, $\sigma^2I_n$ ) ; y $\in\mathbb{R}^n$
Pr(y > $\gamma$) = $\int_\gamma^\infty$ pr(y) d y ; $\gamma\in\mathbb{R}$
-Sun