On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation
DOI10.1016/j.jmva.2019.104586zbMath1435.62180OpenAlexW2998698044WikidataQ126404244 ScholiaQ126404244MaRDI QIDQ2306273
Roohollah Roozegar, Ahad Jamalizadeh, Narayanaswamy Balakrishnan
Publication date: 20 March 2020
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2019.104586
multivariate generalized hyperbolic distributionmultivariate tail conditional expectationmultivariate normal mean-variance mixture distributionsmultivariate truncated moments
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10) Risk models (general) (91B05)
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