A Truncated Bivariate t Distribution

Nadarajah Saralees
Additional contact information
Nadarajah Saralees: School of Mathematics, University of Manchester, Manchester M60 1QD, United Kingdom

Stochastics and Quality Control, 2007, vol. 22, issue 2, 303-313

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.

Keywords: bivariate t distribution; heavy tails; moments; truncated bivariate t distribution (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1515/EQC.2007.303 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:ecqcon:v:22:y:2007:i:2:p:303-313:n:12

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/eqc/html

DOI: 10.1515/EQC.2007.303

Access Statistics for this article

Stochastics and Quality Control is currently edited by George P. Yanev

More articles in Stochastics and Quality Control from De Gruyter
Bibliographic data for series maintained by Peter Golla ().