On Moments of Folded and Truncated Multivariate Normal Distributions |
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| Authors: | Raymond Kan |
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| Institution: | Rotman School of Management, University of Toronto, Toronto, Ontario, Canada |
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| Abstract: | Recurrence relations for integrals that involve the density of multivariate normal distributions are developed. These recursions allow fast computation of the moments of folded and truncated multivariate normal distributions. Besides being numerically efficient, the proposed recursions also allow us to obtain explicit expressions of low-order moments of folded and truncated multivariate normal distributions. Supplementary material for this article is available online. |
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| Keywords: | Folded normal distribution Multivariate normal distribution Truncated normal distribution |
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