Moments of doubly truncated multivariate normal mean-mixture distributions

Roohollah Roozegar, Narayanaswamy Balakrishnan, Anthony F. Desmond and Ahad Jamalizadeh

Communications in Statistics - Theory and Methods, 2024, vol. 54, issue 12, 3556-3583

Abstract: Recently, considerable interest has been in deriving explicit expressions for moment of different truncated multivariate distributions. This is due to their usefulness in developing efficient EM-algorithm for the maximum likelihood estimation of the corresponding distributional parameters. One rich family of distributions is the multivariate normal mean-mixture distribution as it includes a number of important multivariate distributions as special cases. In this article, we derive exact expressions for the first two moments of doubly truncated multivariate normal mean-mixture distributions, from which results for various special cases are then deduced.

Date: 2024
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DOI: 10.1080/03610926.2024.2395892

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