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

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Autor(es):
Galarza, Christian E. ; Lin, Tsung-, I ; Wang, Wan-Lun ; Lachos, Victor H.
Número total de Autores: 4
Tipo de documento: Artigo Científico
Fonte: METRIKA; v. 84, n. 6, p. 26-pg., 2021-01-19.
Resumo

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)

Processo FAPESP: 18/11580-1 - Momentos de distribuições multivariadas duplamente truncadas
Beneficiário:Christian Eduardo Galarza Morales
Modalidade de apoio: Bolsas no Exterior - Estágio de Pesquisa - Doutorado
Processo FAPESP: 15/17110-9 - Estimação Robusta em Modelos Espaciais para Dados Censurados.
Beneficiário:Christian Eduardo Galarza Morales
Modalidade de apoio: Bolsas no Brasil - Doutorado