A note on the conditional moments of a multivariate normal distribution confined to a convex set

Shelby J. Haberman

Journal of Multivariate Analysis, 1980, vol. 10, issue 3, 398-404

Abstract: Let Y be an N([mu], [Sigma]) random variable on Rm, 1 = 0, let [beta]s(v) be the expected value of (v, Y) - (v, [mu])s and let [gamma]s(v) be the conditional expected value of (v, Y) - (v, [mu]c)s given Y [set membership, variant] C. For s >= 1, [gamma]s(v)

Keywords: Normal; distributions; moments; convex; sets; inequalities (search for similar items in EconPapers)
Date: 1980
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