On the fractional moments of a truncated centered multivariate normal distribution

• Published in: Communications in statistics. Simulation and computation Vol. 51; no. 7; pp. 3923 - 3942
• Main Authors: Ogawa, Mitsunori, Nakamoto, Kazuki, Sei, Tomonari
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 03.07.2022; Taylor & Francis Ltd
• Subjects: Algebraic statistics; Approximation; Holonomic gradient method; Laplace approximation; Monte Carlo method; Monte Carlo simulation; Multivariate analysis; Normal distribution; Robustness (mathematics); Statistical analysis

In this paper, we study the fractional moments of a truncated centered multivariate normal distribution, with a focus on their computation. We develop computational methods, including ones based on the holonomic gradient method, the second-order Laplace approximation, and the Monte Carlo method. The...