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Let $X\sim\cal N(\mu,\Sigma)$ be an $n$-dimensional Gaussian vector. I would like to estimate $$P(X_1>\max_{k=2,\dots,n}X_k).$$

While no closed form solution exists (see e.g. MO question on Maximal component of a multivariate Gaussian distribution), can one nevertheless obtain nontrivial lower bounds in the case that $\mu_1>\max_{k=2,\dots,n} \mu_k$?

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  • $\begingroup$ You can translate this into a probability that another Gaussian vector is in the positive orthant, $(X_1-X_2, X_1-X_3,...,X_1-X_n)$. These probabilities have been studied. $\endgroup$ Commented Jun 7, 2015 at 17:29

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