A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation

DOI10.1016/j.jmva.2021.104729zbMath1464.62218OpenAlexW3127301634MaRDI QIDQ2022559

Haruhiko Ogasawara

Publication date: 29 April 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2021.104729

zbMATH Keywords

incomplete gamma functionhigher-order momentsdouble truncationKummer's confluent hypergeometric functionraw/central/absolute momentssubtract cancellation errors

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Exact distribution theory in statistics (62E15)

Related Items (5)

Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions ⋮ The multivariate t -distribution with multiple degrees of freedom ⋮ The Wishart distribution with two different degrees of freedom ⋮ The density of the sample correlations under elliptical symmetry with or without the truncated variance-ratio ⋮ Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution

Uses Software

• R
• mvtnorm
• DLMF
• sn
• hypergeo
• MomTrunc

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