Moments and random number generation for the truncated elliptical family of distributions

DOI10.48550/ARXIV.2112.09319zbMATH Open1505.62406arXiv2112.09319OpenAlexW4313595274MaRDI QIDQ107352FDOQ107352

Christian E. Galarza, Christian E. Galarza, Larissa A. Matos, Katherine A. L. Valeriano, Larissa A. Matos

Publication date: 17 December 2021

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: This paper proposes an algorithm to generate random numbers from any member of the truncated multivariate elliptical family of distributions with a strictly decreasing density generating function. Based on Neal (2003) and Ho et al. (2012), we construct an efficient sampling method by means of a slice sampling algorithm with Gibbs sampler steps. We also provide a faster approach to approximate the first and the second moment for the truncated multivariate elliptical distributions where Monte Carlo integration is used for the truncated partition, and explicit expressions for the non-truncated part (Galarza et al., 2020). Examples and an application to environmental spatial data illustrate its usefulness. Methods are available for free in the new R library elliptical.

Full work available at URL: https://arxiv.org/abs/2112.09319

zbMATH Keywords

elliptical distributionsslice sampling algorithmtruncated distributionstruncated moments

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Random number generation in numerical analysis (65C10) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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Cited In (5)

• New results on truncated elliptical distributions
• Multivariate doubly truncated moments for generalized skew-elliptical distributions with applications
• On moments of truncated multivariate normal/independent distributions
• Conjugacy properties of multivariate unified skew-elliptical distributions
• relliptical

Uses Software

• R
• Yacas
• tmvtnorm
• MCMCglmm
• tlmec
• optimx
• BRENT
• Ryacas
• MomTrunc
• armspp
• TTmoment
• RcppCensSpatial
• ARpLMEC

Recommendations

• Title not available (Why is that?) 👍 👎
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• New results on truncated elliptical distributions 👍 👎
• Multivariate elliptical truncated moments 👍 👎
• Estimation of Moment Parameter in Elliptical Distributions 👍 👎
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