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On Moments of Folded and Truncated Multivariate Normal Distributions
- Source :
- Journal of Computational and Graphical Statistics. 26:930-934
- Publication Year :
- 2017
- Publisher :
- Informa UK Limited, 2017.
-
Abstract
- Recurrence relations for integrals that involve the density of multivariate normal distributions are developed. These recursions allow fast computation of the moments of folded and truncated multivariate normal distributions. Besides being numerically efficient, the proposed recursions also allow us to obtain explicit expressions of low-order moments of folded and truncated multivariate normal distributions. Supplementary material for this article is available online.
- Subjects :
- Statistics and Probability
Recurrence relation
Truncated normal distribution
Computation
Mathematical analysis
Matrix t-distribution
020206 networking & telecommunications
Multivariate normal distribution
02 engineering and technology
01 natural sciences
Normal-Wishart distribution
010104 statistics & probability
0202 electrical engineering, electronic engineering, information engineering
Order (group theory)
Discrete Mathematics and Combinatorics
Matrix normal distribution
0101 mathematics
Statistics, Probability and Uncertainty
Elliptical distribution
Folded normal distribution
Multivariate stable distribution
Mathematics
Subjects
Details
- ISSN :
- 15372715 and 10618600
- Volume :
- 26
- Database :
- OpenAIRE
- Journal :
- Journal of Computational and Graphical Statistics
- Accession number :
- edsair.doi.dedup.....57262bd00014792d861ceacbebcafa20