Some results on the multivariate truncated normal distribution

William C. Horrace

doi:10.1016/j.jmva.2004.10.007

Some results on the multivariate truncated normal distribution

William C. Horrace

Department of Economics

Research output: Contribution to journal › Article › peer-review

117 Scopus citations

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 MTP 2 property are derived.

Original language	English (US)
Pages (from-to)	209-221
Number of pages	13
Journal	Journal of Multivariate Analysis
Volume	94
Issue number	1
DOIs	https://doi.org/10.1016/j.jmva.2004.10.007
State	Published - May 2005

Keywords

A-unimodality
Characteristic function
Log-concavity
MTP

ASJC Scopus subject areas

Statistics and Probability
Numerical Analysis
Statistics, Probability and Uncertainty

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10.1016/j.jmva.2004.10.007

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title = "Some results on the multivariate truncated normal distribution",

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 MTP 2 property are derived.",

keywords = "A-unimodality, Characteristic function, Log-concavity, MTP",

author = "Horrace, {William C.}",

note = "Funding Information: The comments of Jeff Racine, Duke Kao, Jan Onrich, and Ed Dudewicz are appreciated. All errors are mine. Research supported by the Office of the Vice Chancellor and Center for Policy Research, Syracuse University.",

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N2 - 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 MTP 2 property are derived.

AB - 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 MTP 2 property are derived.

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KW - Characteristic function

KW - Log-concavity

KW - MTP

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JF - Journal of Multivariate Analysis

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ER -

Some results on the multivariate truncated normal distribution

Abstract

Keywords

ASJC Scopus subject areas

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