A Truncated Bivariate t Distribution

DOI10.1515/EQC.2007.303zbMath1144.62038OpenAlexW2072101202MaRDI QIDQ3526963

Saralees Nadarajah

Publication date: 25 September 2008

Published in: Economic Quality Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/eqc.2007.303

zbMATH Keywords

momentsheavy tailsbivariate \(t\) distributiontruncated bivariate \(t\) distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Multivariate truncated moments ⋮ New results on truncated elliptical distributions ⋮ On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation ⋮ Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution

Cites Work

• Moments on truncated bivariate log-normal distributions
• Monte Carlo evaluation of multivariate Student's t probabilities
• Moments of ordered bivariate log-normal distributions
• Markov-normal analysis of iterative simulations before their convergence
• Bayes inference in the Tobit censored regression model
• Posterior inference on the degrees of freedom parameter in multivariate- \(t\) regression models
• Robust Bayesian inference in elliptical regression models
• Copula credibility for aggregate loss models
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

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