Title
Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-t distribution
Date Issued
01 May 2022
Access level
open access
Resource Type
journal article
Author(s)
Pontificia Universidad Católica de Chile
Publisher(s)
Academic Press Inc.
Abstract
In this paper, we compute doubly truncated moments for the selection elliptical class of distributions, including some multivariate asymmetric versions of well-known elliptical distributions, such as the normal, Student's t, slash, among others. We address the moments for doubly truncated members of this family, establishing neat formulation for high-order moments and its first two moments. We establish sufficient and necessary conditions for the existence of these truncated moments. Further, we propose optimized methods to handle the extreme setting of the parameters, partitions with almost zero volume or no truncation, which are validated with numerical studies. All results have been particularized to the unified skew-t distribution, a complex multivariate asymmetric heavy-tailed distribution which includes the extended skew-t, extended skew-normal, skew-t, and skew-normal distributions as particular and limiting cases.
Volume
189
Language
English
OCDE Knowledge area
EstadÃsticas, Probabilidad
Subjects
Scopus EID
2-s2.0-85122072563
Source
Journal of Multivariate Analysis
ISSN of the container
0047259X
Sponsor(s)
We would like to thank the editor, reviewers and associate editor for their constructive comments, which helped to improve this paper substantially. Christian Galarza acknowledges support from FAPESP -Brazil (Grant 2015/17110-9 and Grant 2018/11580-1 ). The work of Luis M. Castro was partially supported by ANID - Millennium Science Initiative Program - NCN17_059 from the Chilean government. Larissa A. Matos acknowledges support from FAPESP -Brazil (Grant 2020/16713-0 ).
Sources of information:
Directorio de Producción CientÃfica
Scopus