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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instance of

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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MaRDI profile type

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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Sequences of elliptical distributions and mixtures of normal distributions

0 references

Normal scale mixtures and dual probability densities

0 references

Distributionally robust multi-item newsvendor problems with multimodal demand distributions

0 references

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

0 references

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

0 references

Conditional tail risk measures for the skewed generalised hyperbolic family

0 references

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

0 references

On the tail mean-variance optimal portfolio selection

0 references

Multivariate tail conditional expectation for elliptical distributions

0 references

Tail conditional moments for elliptical and log-elliptical distributions

0 references

Tail Conditional Expectations for Elliptical Distributions

0 references

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

0 references

Moments on truncated bivariate log-normal distributions

0 references

Q5706744

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

0 references

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

0 references

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

0 references

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

0 references

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

DOI

10.3103/s1066530723030043

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Mathematics Subject Classification ID

62-XX

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zbMATH DE Number

7751581

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Sitelinks

Mathematics(1 entry)

mardi Publication:6077261

@@ Property / cites work @@
+Multivariate Regression and Simultaneous Equation Models when the Dependent Variables Are Truncated Normal
+Normal rank
@@ Property / cites work @@
+Multivariate truncated moments
@@ Property / cites work: Multivariate truncated moments / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate elliptical truncated moments
@@ Property / cites work: Multivariate elliptical truncated moments / rank @@
+Normal rank
@@ Property / cites work @@
+Strong consistency and robustness of the forward search estimator of multivariate location and scatter
+Normal rank
@@ Property / cites work @@
+Q3996150
@@ Property / cites work: Q3996150 / rank @@
+Normal rank
@@ Property / cites work @@
+On moments of folded and truncated multivariate Student-\(t\) distributions based on recurrence relations
+Normal rank
@@ Property / cites work @@
+Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution
+Normal rank
@@ Property / cites work @@
+Sequences of elliptical distributions and mixtures of normal distributions
+Normal rank
@@ Property / cites work @@
+Normal scale mixtures and dual probability densities
+Normal rank
@@ Property / cites work @@
+Distributionally robust multi-item newsvendor problems with multimodal demand distributions
+Normal rank
@@ Property / cites work @@
+Some results on the truncated multivariate \(t\) distribution
+Normal rank
@@ Property / cites work @@
+Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
+Normal rank
@@ Property / cites work @@
+Conditional tail risk measures for the skewed generalised hyperbolic family
+Normal rank
@@ Property / cites work @@
+A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
+Normal rank
@@ Property / cites work @@
+On the tail mean-variance optimal portfolio selection
+Normal rank
@@ Property / cites work @@
+Multivariate tail conditional expectation for elliptical distributions
+Normal rank
@@ Property / cites work @@
+Tail conditional moments for elliptical and log-elliptical distributions
+Normal rank
@@ Property / cites work @@
+Tail Conditional Expectations for Elliptical Distributions
+Normal rank
@@ Property / cites work @@
+Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
+Normal rank
@@ Property / cites work @@
+Moments on truncated bivariate log-normal distributions
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+On Moments of Folded and Doubly Truncated Multivariate Extended Skew-Normal Distributions
+Normal rank
@@ Property / cites work @@
+A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation
+Normal rank
@@ Property / cites work @@
+On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation
+Normal rank
@@ Property / cites work @@
+An event-triggered approach to state estimation with multiple point- and set-valued measurements
+Normal rank
@@ Property / cites work @@
+Q3293803
@@ Property / cites work: Q3293803 / rank @@
+Normal rank
@@ Property / cites work @@
+Tail conditional risk measures for location-scale mixture of elliptical distributions
+Normal rank
@@ Property / cites work @@
+Multivariate tail covariance risk measure for generalized skew-elliptical distributions
+Normal rank