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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

On moments of folded and truncated multivariate Student-t distributions based on recurrence relations

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Author(s):
Galarza, Christian E. [1] ; Lin, I, Tsung- ; Wang, Wan-Lun [2] ; Lachos, Victor H. [3]
Total Authors: 4
Affiliation:
[1] Escuela Super Politecn Litoral, ESPOL, Fac Ciencias Nat & Matemat, Guayaquil - Ecuador
[2] Feng Chia Univ, Grad Inst Stat & Actuarial Sci, Dept Stat, Taichung 40724 - Taiwan
[3] Univ Connecticut, Dept Stat, Storrs, CT 06269 - USA
Total Affiliations: 3
Document type: Journal article
Source: METRIKA; JAN 2021.
Web of Science Citations: 0
Abstract

The use of the first two moments of the truncated multivariate Student-t distribution has attracted increasing attention from a wide range of applications. This paper develops recurrence relations for integrals that involve the density of multivariate Student-t distributions. The proposed techniques allow for fast computation of arbitrary-order product moments of folded and truncated multivariate Student-t distributions and offer explicit expressions of low-order moments of folded and truncated multivariate Student-t distributions. A real data example containing positive censored responses is applied to illustrate the effectiveness and importance of the proposed methods. An R MomTrunc package is developed and publicly available on the CRAN repository. (AU)

FAPESP's process: 15/17110-9 - Robust Estimation in Spatial Models for Censored Data
Grantee:Christian Eduardo Galarza Morales
Support type: Scholarships in Brazil - Doctorate
FAPESP's process: 18/11580-1 - Moments of doubly truncated multivariate distributions
Grantee:Christian Eduardo Galarza Morales
Support type: Scholarships abroad - Research Internship - Doctorate