Multivariate truncated moments
From MaRDI portal
Publication:391583
DOI10.1016/j.jmva.2013.01.007zbMath1277.62142OpenAlexW2010934254MaRDI QIDQ391583
Publication date: 10 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2013.01.007
Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)
Related Items (22)
The multivariate tail-inflated normal distribution and its application in finance ⋮ Some properties of the unified skew-normal distribution ⋮ An efficient decomposition of the expectation of the maximum for the multivariate normal and related distributions ⋮ Multivariate elliptical truncated moments ⋮ On Moments of Folded and Doubly Truncated Multivariate Extended Skew-Normal Distributions ⋮ A moment-based analytic approximation of the risk-neutral density of American options ⋮ Inference in the growth curve model under multivariate skew normal distribution ⋮ Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions ⋮ Unified and non-recursive formulas for moments of the normal distribution with stripe truncation ⋮ Colored Tobit Kalman filter ⋮ Strong consistency and robustness of the forward search estimator of multivariate location and scatter ⋮ On moments of folded and truncated multivariate Student-\(t\) distributions based on recurrence relations ⋮ New results on truncated elliptical distributions ⋮ A dynamic view to moment matching of truncated distributions ⋮ Some simulation/computation in multivariate linear models of scale mixtures of skew-normal-Cauchy distributions ⋮ A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation ⋮ Orthant-based variance decomposition in investment portfolios ⋮ On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation ⋮ Valid properties of truncated Student-\(t\) regression model with applications in analysis of censored data ⋮ Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution ⋮ Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis ⋮ On the fractional moments of a truncated centered multivariate normal distribution
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimation of Relationships for Limited Dependent Variables
- Some results on the multivariate truncated normal distribution
- The determination of moments of the doubly truncated multivariate normal Tobit model
- The commutation matrix: Some properties and applications
- Multivariate skewness and kurtosis measures with an application in ICA
- Asymmetric multivariate normal mixture GARCH
- Moments of truncated student-\(t\) distribution
- A class of consistent tests for exponentiality based on the empirical Laplace transform
- The nontruncated marginal of a truncated bivariate normal distribution
- A treatment of multivariate skewness, kurtosis, and related statistics.
- Algorithm AS 249: Evaluation of the Mean and Covariance of the Truncated Multinormal Distribution
- A Truncated Bivariate t Distribution
- Multivariate Regression and Simultaneous Equation Models when the Dependent Variables Are Truncated Normal
- Recurrence relations for the moments of truncated multinormal distribution
- Multivariate T-Distributions and Their Applications
- Measures of multivariate skewness and kurtosis with applications
- ESTIMATING PARAMETERS IN TRUNCATED PEARSON FREQUENCY DISTRIBUTIONS WITHOUT RESORT TO HIGHER MOMENTS
- A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
This page was built for publication: Multivariate truncated moments
