On asymptotics of multivariate integrals with applications to records

Let { X _n ,n≥1} be a sequence of iid. Gaussian random vectors in R ^d , d≥2, with nonsingular distribution function F. In this paper the asymptotics for the sequence of integrals I _F,n (G _n )?n∫ _{R ^d} G _n ^n?1( X ) dF( X ) is considered with G _n some distribution function on R ^d . In the case G _n =F the integral I _F,n (F)/n is the probability that a record occurs in X ₁,…, X _n at index n. [1] Gnedin, A.V. 1998. Records from a Multivariate Normal Sample. Statist. Probab. Lett., 39: 11–15. [Crossref], [Web of Science ®] , [Google Scholar] obtained lower and upper asymptotic bounds for this case, whereas [2] Ledford, W.A. and Twan, A.J. 1998. On the Tail Concomitant Behaviour for Extremes. Adv. Appl. Probab., 30: 197–215. [Crossref], [Web of Science ®] , [Google Scholar] showed the rate of convergence if d=2. In this paper we derive the exact rate of convergence of I _F,n (G _n ) for d≥2 under some restrictions on the distribution function G _n . Some related results for multivariate Gaussian tails are discussed also.