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Non Central Moments of the Truncated Normal Variable

Author

Listed:
  • Fausto Corradin

    (Ca' Foscari University of Venice, Department of Economics)

  • Domenico Sartore

    (Ca' Foscari University of Venice, Department of Economics)

Abstract

This paper computes the non central moments of the Truncated Normal variable, that is, a Normal variable constrained to assume values in the interval with extremes that can be finite or infinite. We define two recursive expressions where one can be expressed in closed form. Another closed form is defined using the Lower Incomplete Gamma Function. Moreover, an upper bound for the absolute value of the non central moments is determined. The numerical results of the expressions are compared and the different behavior for high value of the order of the moments is shown.

Suggested Citation

  • Fausto Corradin & Domenico Sartore, 2016. "Non Central Moments of the Truncated Normal Variable," Working Papers 2016:17, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2016:17
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    Cited by:

    1. Fausto Corradin & Domenico Sartore, 2020. "Risk Aversion: Differential Conditions for the Iso-Utility Curves with Positive Slope in Transformed Two-Parameter Distributions," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(3), pages 142-217, September.
    2. Fausto Corradin & Domenico Sartore, 2020. "Risk Aversion: Differential Conditions for the Iso-Utility Curves with Positive Slope in Transformed Two-Parameter Distributions," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(3), pages 142-217, September.

    More about this item

    Keywords

    truncated normal variable; non central moments; lower incomplete gamma function.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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