On moments of truncated multivariate normal/independent distributions

Tsung-I Lin and Wan-Lun Wang

Journal of Multivariate Analysis, 2024, vol. 199, issue C

Abstract: 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.

Keywords: Heavy tails; Outliers; Robustness; TMNI distributions; Truncated moments (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.jmva.2023.105248

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