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

zbMATH Keywords

multivariate generalized hyperbolic distributionmultivariate tail conditional expectationmultivariate normal mean-variance mixture distributionsmultivariate truncated moments

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10) Risk models (general) (91B05)

Related Items (5)

The location of a minimum variance squared distance functional ⋮ Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions ⋮ On moments of truncated multivariate normal/independent distributions ⋮ On moments of folded and truncated multivariate Student-\(t\) distributions based on recurrence relations ⋮ Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution

Uses Software

• QRM

Cites Work

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