On Moments of Folded and Truncated Multivariate Normal Distributions

22 Pages Posted: 18 Mar 2016 Last revised: 28 Mar 2016

See all articles by Raymond Kan

Raymond Kan

University of Toronto - Rotman School of Management

Cesare Robotti

Imperial College Business School

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

Kan, Raymond and Robotti, Cesare, On Moments of Folded and Truncated Multivariate Normal Distributions (March 27, 2016). Available at SSRN: https://ssrn.com/abstract=2748900 or http://dx.doi.org/10.2139/ssrn.2748900

Raymond Kan (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S3E6
Canada
416-978-4291 (Phone)
416-971-3048 (Fax)

Cesare Robotti

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, SW7 2AZ
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
249
Abstract Views
864
rank
160,302
PlumX Metrics