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Multivariate elliptical truncated moments

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  • Arismendi, Juan C.
  • Broda, Simon

Abstract

In this study, we derive analytic expressions for the elliptical truncated moment generating function (MGF), the zeroth-, first-, and second-order moments of quadratic forms of the multivariate normal, Student’s t, and generalized hyperbolic distributions. The resulting formulas were tested in a numerical application to calculate an analytic expression of the expected shortfall of quadratic portfolios with the benefit that moment based sensitivity measures can be derived from the analytic expression. The convergence rate of the analytic expression is fast–one iteration–for small closed integration domains, and slower for open integration domains when compared to the Monte Carlo integration method. The analytic formulas provide a theoretical framework for calculations in robust estimation, robust regression, outlier detection, design of experiments, and stochastic extensions of deterministic elliptical curves results.

Suggested Citation

  • Arismendi, Juan C. & Broda, Simon, 2017. "Multivariate elliptical truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 29-44.
    • Handle: RePEc:eee:jmvana:v:157:y:2017:i:c:p:29-44
    DOI: 10.1016/j.jmva.2017.02.011
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    Cited by:

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    2. Baishuai Zuo & Chuancun Yin, 2022. "Multivariate doubly truncated moments for generalized skew-elliptical distributions with application to multivariate tail conditional risk measures," Papers 2203.00839, arXiv.org.
    3. Roozegar, Roohollah & Balakrishnan, Narayanaswamy & Jamalizadeh, Ahad, 2020. "On moments of doubly truncated multivariate normal mean–variance mixture distributions with application to multivariate tail conditional expectation," Journal of Multivariate Analysis, Elsevier, vol. 177(C).
    4. Ouzan, Samuel, 2020. "Loss aversion and market crashes," Economic Modelling, Elsevier, vol. 92(C), pages 70-86.
    5. Galarza, Christian E. & Matos, Larissa A. & Castro, Luis M. & Lachos, Victor H., 2022. "Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    6. Ogasawara, Haruhiko, 2021. "A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation," Journal of Multivariate Analysis, Elsevier, vol. 183(C).

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