Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions (Q6077261): Difference between revisions

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scientific article; zbMATH DE number 7751581

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English	Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions	scientific article; zbMATH DE number 7751581

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scholarly article

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title

Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions (English)

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Mathematical Methods of Statistics

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publication date

17 October 2023

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zbMATH Keywords

multivariate doubly truncated moments

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multivariate location-scale mixture

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multivariate tail conditional expectation

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Publication

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cites work

Multivariate Regression and Simultaneous Equation Models when the Dependent Variables Are Truncated Normal

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Multivariate truncated moments

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Multivariate elliptical truncated moments

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Strong consistency and robustness of the forward search estimator of multivariate location and scatter

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Q3996150

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On moments of folded and truncated multivariate Student-\(t\) distributions based on recurrence relations

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Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution

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Normal scale mixtures and dual probability densities

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Distributionally robust multi-item newsvendor problems with multimodal demand distributions

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Some results on the truncated multivariate \(t\) distribution

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Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions

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Conditional tail risk measures for the skewed generalised hyperbolic family

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A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures

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On the tail mean-variance optimal portfolio selection

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Multivariate tail conditional expectation for elliptical distributions

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Tail conditional moments for elliptical and log-elliptical distributions

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Tail Conditional Expectations for Elliptical Distributions

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Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences

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Moments on truncated bivariate log-normal distributions

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Q5706744

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On Moments of Folded and Doubly Truncated Multivariate Extended Skew-Normal Distributions

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A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation

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On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation

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An event-triggered approach to state estimation with multiple point- and set-valued measurements

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Q3293803

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Tail conditional risk measures for location-scale mixture of elliptical distributions

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Multivariate tail covariance risk measure for generalized skew-elliptical distributions

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Identifiers

Mathematics Subject Classification ID

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10.3103/S1066530723030043

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Sitelinks

Mathematics(1 entry)

mardi Publication:6077261

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