Multivariate truncated moments

From MaRDI portal
Publication:391583

DOI10.1016/j.jmva.2013.01.007zbMath1277.62142OpenAlexW2010934254MaRDI QIDQ391583

Juan C. Arismendi

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



Related Items

The multivariate tail-inflated normal distribution and its application in finance, Some properties of the unified skew-normal distribution, An efficient decomposition of the expectation of the maximum for the multivariate normal and related distributions, Multivariate elliptical truncated moments, On Moments of Folded and Doubly Truncated Multivariate Extended Skew-Normal Distributions, A moment-based analytic approximation of the risk-neutral density of American options, Inference in the growth curve model under multivariate skew normal distribution, Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions, Unified and non-recursive formulas for moments of the normal distribution with stripe truncation, Colored Tobit Kalman filter, Strong consistency and robustness of the forward search estimator of multivariate location and scatter, On moments of folded and truncated multivariate Student-\(t\) distributions based on recurrence relations, New results on truncated elliptical distributions, A dynamic view to moment matching of truncated distributions, Some simulation/computation in multivariate linear models of scale mixtures of skew-normal-Cauchy distributions, A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation, Orthant-based variance decomposition in investment portfolios, On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation, 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, Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis, On the fractional moments of a truncated centered multivariate normal distribution


Uses Software


Cites Work