Moments Calculation for the Double Truncated Multivariate Normal Density

In the present article we deal with the problem of computing the first and second moments for the rectangularly double truncated multivariate normal density. Our primary aim is to extend the derivation of Tallis (1961) to general mean and covariance for double truncation. Indeed we also deduce a simple computer algorithm for computing the first two moments and the bivariate marginal density

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Year of publication:	2018
Authors:	B. G., Manjunath ; Wilhelm, Stefan
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Statistische Verteilung \| Statistical distribution \| Multivariate Analyse \| Multivariate analysis

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 11, 2009 erstellt
Other identifiers:	10.2139/ssrn.1472153 [DOI]
Classification:	C34 - Truncated and Censored Models ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014204098