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A dynamic view to moment matching of truncated distributions

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  • Liquet, Benoit
  • Nazarathy, Yoni

Abstract

We derive an ordinary differential equation (ODE) for solving moment matching problems of truncated univariate distributions. Our method produces a trajectory that solves a family of moment matching problems for different truncation values all with the same target moments.

Suggested Citation

  • Liquet, Benoit & Nazarathy, Yoni, 2015. "A dynamic view to moment matching of truncated distributions," Statistics & Probability Letters, Elsevier, vol. 104(C), pages 87-93.
    • Handle: RePEc:eee:stapro:v:104:y:2015:i:c:p:87-93
    DOI: 10.1016/j.spl.2015.05.006
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    References listed on IDEAS

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    1. Danny D. Dyer, 1973. "On Moments Estimation of the Parameters of a Truncated Bivariate Normal Distribution," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 22(3), pages 287-291, November.
    2. Arismendi, J.C., 2013. "Multivariate truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 41-75.
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    Cited by:

    1. Brenda Castillo-Brais & Ángel León & Juan Mora, 2022. "Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?," Mathematics, MDPI, vol. 10(22), pages 1-17, November.
    2. León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
    3. León, Ángel & Ñíguez, Trino-Manuel, 2021. "The transformed Gram Charlier distribution: Parametric properties and financial risk applications," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 323-349.
    4. Moshe Pollak & Michal Shauly-Aharonov, 2019. "A Double Recursion for Calculating Moments of the Truncated Normal Distribution and its Connection to Change Detection," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 889-906, September.

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