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On moments of truncated multivariate normal/independent distributions.
- Source :
-
Journal of Multivariate Analysis . Jan2024, Vol. 199, pN.PAG-N.PAG. 1p. - Publication Year :
- 2024
-
Abstract
- Multivariate normal/independent (MNI) distributions contain many renowned heavy-tailed distributions such as the multivariate t , multivariate slash, multivariate contaminated normal, multivariate variance-gamma, and multivariate double exponential distributions. A frequent problem encountered in statistical analysis is the occurrence of truncated observations and non-normality such that theoretical moments are required for the estimation of the truncated multivariate normal/independent (TMNI) distributions. This paper is dedicated to deriving explicit expressions for the moments of the TMNI distributions with supports confined within a hyper-rectangle. A Monte Carlo experiment is undertaken to validate to the correctness of the proposed formulae for five selected members of the TMNI distributions. R scripts and data to reproduce the results are available in the GitHub repository. [ABSTRACT FROM AUTHOR]
- Subjects :
- *DISTRIBUTION (Probability theory)
*STATISTICS
*SCRIPTS
Subjects
Details
- Language :
- English
- ISSN :
- 0047259X
- Volume :
- 199
- Database :
- Academic Search Index
- Journal :
- Journal of Multivariate Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 174161634
- Full Text :
- https://doi.org/10.1016/j.jmva.2023.105248