Multivariate elliptical truncated moments

DOI10.1016/j.jmva.2017.02.011zbMath1362.62030MaRDI QIDQ2397126

Juan C. Arismendi, Simon A. Broda

Publication date: 29 May 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://dare.uva.nl/personal/pure/en/publications/multivariate-elliptical-truncated-moments(7972bcb0-dd6c-4014-b0f3-fab5164a311f).html

zbMATH Keywords

quadratic forms; parametric distributions; elliptical functions; multivariate truncated moments; elliptical truncation; tail moments

Mathematics Subject Classification ID

62N01: Censored data models

62E15: Exact distribution theory in statistics

62E10: Characterization and structure theory of statistical distributions

91G20: Derivative securities (option pricing, hedging, etc.)

62E17: Approximations to statistical distributions (nonasymptotic)

62N05: Reliability and life testing

Related Items

Unified and non-recursive formulas for moments of the normal distribution with stripe truncation, Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions, A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation, Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution, On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation

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