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Some results on the multivariate truncated normal distribution

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  • Horrace, William C.

Abstract

This note formalizes some analytical results on the n-dimensional multivariate truncated normal distribution where truncation is one-sided and at an arbitrary point. Results on linear transformations, marginal and conditional distributions, and independence are provided. Also, results on log-concavity, A-unimodality and the MTP2 property are derived.

Suggested Citation

  • Horrace, William C., 2005. "Some results on the multivariate truncated normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 94(1), pages 209-221, May.
  • Handle: RePEc:eee:jmvana:v:94:y:2005:i:1:p:209-221
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    Cited by:

    1. Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2016. "Endogeneity in stochastic frontier models," Journal of Econometrics, Elsevier, vol. 190(2), pages 280-288.
    2. Christine Amsler & Artem Prokhorov & Peter Schmidt, 2014. "Using Copulas to Model Time Dependence in Stochastic Frontier Models," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 497-522, August.
    3. Roberto Colombi & Subal Kumbhakar & Gianmaria Martini & Giorgio Vittadini, 2014. "Closed-skew normality in stochastic frontiers with individual effects and long/short-run efficiency," Journal of Productivity Analysis, Springer, vol. 42(2), pages 123-136, October.
    4. Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst, 2016. "Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-36, November.
    5. Horrace, William C., 2005. "On ranking and selection from independent truncated normal distributions," Journal of Econometrics, Elsevier, vol. 126(2), pages 335-354, June.
    6. Ravi Kashyap, 2016. "Combining Dimension Reduction, Distance Measures and Covariance," Papers 1603.09060, arXiv.org, revised Nov 2017.
    7. Badía, F.G. & Sangüesa, C. & Cha, J.H., 2014. "Stochastic comparison of multivariate conditionally dependent mixtures," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 82-94.
    8. Manjunath, B.G. & Frick, Melanie & Reiss, Rolf-Dieter, 2012. "Some notes on extremal discriminant analysis," Journal of Multivariate Analysis, Elsevier, vol. 103(1), pages 107-115, January.
    9. repec:cup:jfinqa:v:52:y:2017:i:05:p:2183-2215_00 is not listed on IDEAS
    10. Arismendi, J.C., 2013. "Multivariate truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 41-75.
    11. Yue, Chen & Chen, Shaojie & Sair, Haris I. & Airan, Raag & Caffo, Brian S., 2015. "Estimating a graphical intra-class correlation coefficient (GICC) using multivariate probit-linear mixed models," Computational Statistics & Data Analysis, Elsevier, vol. 89(C), pages 126-133.
    12. Jamie Crandell & Corrine Voils & YunKyung Chang & Margarete Sandelowski, 2011. "Bayesian data augmentation methods for the synthesis of qualitative and quantitative research findings," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(3), pages 653-669, April.
    13. Huiping Xu & Bruce A. Craig, 2009. "A Probit Latent Class Model with General Correlation Structures for Evaluating Accuracy of Diagnostic Tests," Biometrics, The International Biometric Society, vol. 65(4), pages 1145-1155, December.
    14. feng dai, 2005. "The Golden Growth Law in Economic Process," Development and Comp Systems 0511014, EconWPA.
    15. Amanda R. Cangelosi & Mevin B. Hooten, 2009. "Models for Bounded Systems with Continuous Dynamics," Biometrics, The International Biometric Society, vol. 65(3), pages 850-856, September.
    16. Adcock, C.J., 2014. "Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution," European Journal of Operational Research, Elsevier, vol. 234(2), pages 392-401.
    17. Cruz Lopez, Jorge A. & Harris, Jeffrey H. & Hurlin, Christophe & Pérignon, Christophe, 2017. "CoMargin," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(05), pages 2183-2215, October.
      • Jorge Cruz Lopez & Jeffrey Harris & Christophe Hurlin & Christophe Pérignon, 2015. "CoMargin," Working Papers halshs-00979440, HAL.

    More about this item

    Keywords

    Characteristic function Log-concavity A-unimodality MTP2;

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