Mean and covariance matrix of a multivariate normal distribution with one doubly-truncated component

Henri Nurminen,Rafael Rui,Tohid Ardeshiri,Alexandre Sanfelice Bazanella,Fredrik Gustafsson

Mean and covariance matrix of a multivariate normal distribution with one doubly-truncated component

2016

Henri Nurminen
Rafael Rui
Tohid Ardeshiri
Alexandre Sanfelice Bazanella
Fredrik Gustafsson

This technical report gives analytical formulas for the mean and covariancematrix of a multivariate normal distribution with one componenttruncated from both below and above.

Keywords:

Covariance matrix
Econometrics
Statistics
Multivariate normal distribution
Computer science
Technical report

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