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Moments of doubly truncated multivariate normal mean-mixture distributions

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  • Roohollah Roozegar
  • Narayanaswamy Balakrishnan
  • Anthony F. Desmond
  • Ahad Jamalizadeh

Abstract

Recently, considerable interest has been in deriving explicit expressions for moment of different truncated multivariate distributions. This is due to their usefulness in developing efficient EM-algorithm for the maximum likelihood estimation of the corresponding distributional parameters. One rich family of distributions is the multivariate normal mean-mixture distribution as it includes a number of important multivariate distributions as special cases. In this article, we derive exact expressions for the first two moments of doubly truncated multivariate normal mean-mixture distributions, from which results for various special cases are then deduced.

Suggested Citation

  • Roohollah Roozegar & Narayanaswamy Balakrishnan & Anthony F. Desmond & Ahad Jamalizadeh, 2024. "Moments of doubly truncated multivariate normal mean-mixture distributions," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 54(12), pages 3556-3583, September.
    • Handle: RePEc:taf:lstaxx:v:54:y:2024:i:12:p:3556-3583
    DOI: 10.1080/03610926.2024.2395892
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