Multivariate truncated moments
From MaRDI portal
Publication:391583
DOI10.1016/j.jmva.2013.01.007zbMath1277.62142MaRDI QIDQ391583
Publication date: 10 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2013.01.007
62H10: Multivariate distribution of statistics
62H05: Characterization and structure theory for multivariate probability distributions; copulas
62G32: Statistics of extreme values; tail inference
Related Items
A moment-based analytic approximation of the risk-neutral density of American options, Some simulation/computation in multivariate linear models of scale mixtures of skew-normal-Cauchy distributions, Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis, The multivariate tail-inflated normal distribution and its application in finance, On Moments of Folded and Doubly Truncated Multivariate Extended Skew-Normal Distributions, Unified and non-recursive formulas for moments of the normal distribution with stripe truncation, On the fractional moments of a truncated centered multivariate normal distribution, Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions, Colored Tobit Kalman filter, An efficient decomposition of the expectation of the maximum for the multivariate normal and related distributions, A dynamic view to moment matching of truncated distributions, A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation, Orthant-based variance decomposition in investment portfolios, Valid properties of truncated Student-\(t\) regression model with applications in analysis of censored data, Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution, Some properties of the unified skew-normal distribution, Inference in the growth curve model under multivariate skew normal distribution, On moments of folded and truncated multivariate Student-\(t\) distributions based on recurrence relations, New results on truncated elliptical distributions, On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation, Multivariate elliptical truncated moments, Strong consistency and robustness of the forward search estimator of multivariate location and scatter
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimation of Relationships for Limited Dependent Variables
- Some results on the multivariate truncated normal distribution
- The determination of moments of the doubly truncated multivariate normal Tobit model
- The commutation matrix: Some properties and applications
- Multivariate skewness and kurtosis measures with an application in ICA
- Asymmetric multivariate normal mixture GARCH
- Moments of truncated student-\(t\) distribution
- A class of consistent tests for exponentiality based on the empirical Laplace transform
- The nontruncated marginal of a truncated bivariate normal distribution
- A treatment of multivariate skewness, kurtosis, and related statistics.
- Algorithm AS 249: Evaluation of the Mean and Covariance of the Truncated Multinormal Distribution
- A Truncated Bivariate t Distribution
- Multivariate Regression and Simultaneous Equation Models when the Dependent Variables Are Truncated Normal
- Recurrence relations for the moments of truncated multinormal distribution
- Multivariate T-Distributions and Their Applications
- Measures of multivariate skewness and kurtosis with applications
- ESTIMATING PARAMETERS IN TRUNCATED PEARSON FREQUENCY DISTRIBUTIONS WITHOUT RESORT TO HIGHER MOMENTS
- A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
