Right-tail asymptotics for products of independent normal random variables
Probability
2026-05-08 v4
Abstract
Let be independent normal random variables with , and set . We derive asymptotic approximations for the right tail probability as . When at least one mean is nonzero, the asymptotic formula remains explicit and involves a finite multiplicative factor arising from admissible sign patterns (reflecting the different ways the product can be positive); it includes an explicit first relative correction term of order , with remaining relative error . The proof uses a boundary saddle-point/Laplace method: first a multidimensional Laplace approximation near the boundary saddle, then a one-dimensional endpoint Laplace approximation.
Keywords
Cite
@article{arxiv.2603.08570,
title = {Right-tail asymptotics for products of independent normal random variables},
author = {Džiugas Chvoinikov and Jonas Šiaulys},
journal= {arXiv preprint arXiv:2603.08570},
year = {2026}
}