On moments of truncated multivariate normal/independent distributions

被引：0
|
作者：
Lin, Tsung-, I [1 ,2 ]
Wang, Wan-Lun [3 ,4 ]
机构：
[1] Natl Chung Hsing Univ, Inst Stat, Taichung 402, Taiwan
[2] China Med Univ, Dept Publ Hlth, Taichung 404, Taiwan
[3] Natl Cheng Kung Univ, Dept Stat, Tainan 701, Taiwan
[4] Natl Cheng Kung Univ, Inst Data Sci, Tainan 701, Taiwan
来源：
JOURNAL OF MULTIVARIATE ANALYSIS | 2024年 / 199卷
关键词：
Heavy tails; Outliers; Robustness; TMNI distributions; Truncated moments; MIXED-EFFECTS MODELS;
D O I：
10.1016/j.jmva.2023.105248
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Multivariate normal/independent (MNI) distributions contain many renowned heavy-tailed distributions such as the multivariate t, multivariate slash, multivariate contaminated normal, multivariate variance-gamma, and multivariate double exponential distributions. A frequent problem encountered in statistical analysis is the occurrence of truncated observations and non-normality such that theoretical moments are required for the estimation of the truncated multivariate normal/independent (TMNI) distributions. This paper is dedicated to deriving explicit expressions for the moments of the TMNI distributions with supports confined within a hyper-rectangle. A Monte Carlo experiment is undertaken to validate to the correctness of the proposed formulae for five selected members of the TMNI distributions. R scripts and data to reproduce the results are available in the GitHub repository.
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页数：19
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