English

Right-tail asymptotics for products of independent normal random variables

Probability 2026-05-08 v4

Abstract

Let X1,,XnX_1,\dots,X_n be independent normal random variables with XiN(μi,σi2)X_i\sim N(\mu_i,\sigma_i^2), and set Z=i=1nXiZ=\prod_{i=1}^n X_i. We derive asymptotic approximations for the right tail probability P(Z>x)\mathbb{P}(Z>x) as xx\to\infty. 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 x1/nx^{-1/n}, with remaining relative error O(x2/n)O(x^{-2/n}). 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}
}