Tail distribution of the maximum of correlated gaussian random variables.
Zdravko I. BotevMichel MandjesAd RidderPublished in: WSC (2015)
Keyphrases
- random variables
- independent and identically distributed
- statistically independent
- normal distribution
- marginal distributions
- probability distribution
- probability density
- graphical models
- joint distribution
- conditional distribution
- latent variables
- conditional independence
- distribution function
- bayesian networks
- stochastic optimization problems
- conditional probabilities
- heavy tailed
- gaussian mixture
- directed acyclic graph
- lead time
- conditional distributions
- conditionally independent
- probabilistic model
- power law
- gaussian distribution
- probabilistic inference
- identically distributed
- random vectors