Expectations of linear functions with respect to truncated multinormal distributions – With applications for uncertainty analysis in environmental modelling

This paper discusses results concerning multivariate normal distributions that are subject to truncation by a hyperplane and how such results can be applied to uncertainty analysis in the environmental sciences. We present a suite of results concerning truncated multivariate normal distributions, so...

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Bibliographic Details
Published inEnvironmental modelling & software : with environment data news Vol. 22; no. 7; pp. 915 - 923
Main Authors Sharples, J.J., Pezzey, J.C.V.
Format Journal Article
LanguageEnglish
Published Elsevier Ltd 01.07.2007
Subjects
Environmental economics
Expectation
Greenhouse gas control
Truncated normal distribution
Uncertainty analysis
Truncated normal distribution
Greenhouse gas control
Expectation
Uncertainty analysis
Environmental economics
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ISSN1364-8152
DOI10.1016/j.envsoft.2006.05.021

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Summary:This paper discusses results concerning multivariate normal distributions that are subject to truncation by a hyperplane and how such results can be applied to uncertainty analysis in the environmental sciences. We present a suite of results concerning truncated multivariate normal distributions, some of which already appear in the mathematical literature. The focus here is to make these types of results more accessible to the environmental science community and to this end we include a conceptually simple alternative derivation of an important result. We illustrate how the theory of truncated multivariate normal distributions can be employed in the environmental sciences by means of an example from the economics of climate change control.
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ISSN:1364-8152
DOI:10.1016/j.envsoft.2006.05.021