## The Annals of Probability

- Ann. Probab.
- Volume 18, Number 2 (1990), 727-753.

### On Approximating Probabilities for Small and Large Deviations in $\mathbb{R}^d$

J. Robinson, T. Hoglund, L. Holst, and M. P. Quine

#### Abstract

A unified approach to approximations of probabilities for sums of $n$ independent random vectors in $\mathbb{R}^d$ is presented based on the Edgeworth expansion of exponentially shifted vectors together with explicit bounds on the errors. Weak conditions are given under which the error bounds may be written as simple order terms in $n$. These results are used in particular to examine approximations to conditional probabilities giving a general method of approximation for these. A number of important special cases are discussed and examined numerically.

#### Article information

**Source**

Ann. Probab., Volume 18, Number 2 (1990), 727-753.

**Dates**

First available in Project Euclid: 19 April 2007

**Permanent link to this document**

https://projecteuclid.org/euclid.aop/1176990856

**Digital Object Identifier**

doi:10.1214/aop/1176990856

**Mathematical Reviews number (MathSciNet)**

MR1055431

**Zentralblatt MATH identifier**

0704.60018

**JSTOR**

links.jstor.org

**Subjects**

Primary: 60F05: Central limit and other weak theorems

Secondary: 60F10: Large deviations 62E20: Asymptotic distribution theory

**Keywords**

Edgeworth expansions saddlepoint approximations large deviations limit theorems conditional probabilities

#### Citation

Robinson, J.; Hoglund, T.; Holst, L.; Quine, M. P. On Approximating Probabilities for Small and Large Deviations in $\mathbb{R}^d$. Ann. Probab. 18 (1990), no. 2, 727--753. doi:10.1214/aop/1176990856. https://projecteuclid.org/euclid.aop/1176990856