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- W4290234980 abstract "In the present article we derive an explicit expression for the trun- cated mean and variance for the multivariate normal distribution with ar- bitrary rectangular double truncation. We use the moment generating ap- proach of Tallis (1961) and extend it to general {mu}, {Sigma} and all combinations of truncation. As part of the solution we also give a formula for the bivari- ate marginal density of truncated multinormal variates. We also prove an invariance property of some elements of the inverse covariance after trunca- tion. Computer algorithms for computing the truncated mean, variance and the bivariate marginal probabilities for doubly truncated multivariate normal variates have been written in R and are presented along with three examples." @default.
- W4290234980 created "2022-08-07" @default.
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- W4290234980 date "2012-06-23" @default.
- W4290234980 modified "2023-10-14" @default.
- W4290234980 title "Moments Calculation For the Doubly Truncated Multivariate Normal Density" @default.
- W4290234980 doi "https://doi.org/10.48550/arxiv.1206.5387" @default.
- W4290234980 hasPublicationYear "2012" @default.
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