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On moments of folded and truncated multivariate normal distributions
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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
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Official URL: https://doi.org/10.1080/10618600.2017.1322092
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 | ||||||||
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| Subjects: | H Social Sciences > HG Finance | ||||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| Journal or Publication Title: | Journal of Computational and Graphical Statistics | ||||||||
| Publisher: | American Statistical Association | ||||||||
| ISSN: | 1061-8600 | ||||||||
| Official Date: | 2017 | ||||||||
| Dates: |
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| Date of first compliant deposit: | 9 July 2018 | ||||||||
| 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 |
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