Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

On moments of folded and truncated multivariate normal distributions

Tools
- Tools
+ Tools

Kan, Raymond and Robotti, Cesare (2017) On moments of folded and truncated multivariate normal distributions. Journal of Computational and Graphical Statistics, 26 (4). doi:10.1080/10618600.2017.1322092

Research output not available from this repository, contact author.
Official URL: https://doi.org/10.1080/10618600.2017.1322092

Request Changes to record.

Abstract

Recurrence relations for integrals that involve the density of multivariate normal distributions are developed. These recursions allow fast computation of the moments of folded and truncated multivariate normal distributions. Besides being numerically efficient, the proposed recursions also allow us to obtain explicit expressions of low-order moments of folded and truncated multivariate normal distributions. Supplementary material for this article is available online.

Item Type: Journal Article
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH): Analysis of variance, Distribution (Probability theory), Multivariate analysis
Journal or Publication Title: Journal of Computational and Graphical Statistics
Publisher: American Statistical Association
ISSN: 1061-8600
Official Date: 2017
Dates:
DateEvent
2017Published
9 October 2017Available
24 April 2017Accepted
Volume: 26
Number: 4
DOI: 10.1080/10618600.2017.1322092
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item
twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us