Download This PaperOn Moments of Folded and Truncated Multivariate Normal Distributions
22 Pages Posted: 18 Mar 2016 Last revised: 28 Mar 2016
Date Written: March 27, 2016
Abstract
Recurrence relations for integrals that involve the density of multivariate normal distributions are developed. These recursions allow fast computation of the moments of folded and truncated multivariate normal distributions. Besides being numerically efficient, the proposed recursions also allow us to obtain explicit expressions of low order moments of folded and truncated multivariate normal distributions.
Keywords: Moments, Multivariate Normal Distribution, Folded Normal Distribution, Truncated Normal Distribution
JEL Classification: C34, C40
Suggested Citation: Suggested Citation
Raymond Kan (Contact Author)
University of Toronto - Rotman School of Management ( email )
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