On moments of folded and truncated multivariate Student-\(t\) distributions based on recurrence relations. (English) Zbl 1475.62167
Summary: 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.
MSC:
| 62H10 | Multivariate distribution of statistics |
| 62N01 | Censored data models |
| 62-08 | Computational methods for problems pertaining to statistics |
Keywords:
EM algorithm; folded multivariate Student-\(t\) distribution; product moments; truncated multivariate normal distribution; truncated multivariate Student-\(t\) distributionReferences:
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