A Truncated Bivariate t Distribution

Abstract A truncated version of the bivariate t distribution is introduced. Unlike the t distribution, this possesses finite moments of all orders and could, therefore, be a better model for real-world situations, as it becomes possible to incorporate always available knowledge about the range of variability of the considered aspect into the model. Using the usual t distribution, this knowledge has to be abandoned and additionally the purely mathematical problems of infinite moments occurs. One such situation is discussed. Explicit expressions for the moments of the truncated distribution are also derived.