On quadratic forms in multivariate generalized hyperbolic random vectors
Abstract Exact and approximate expressions for tail probabilities and partial moments of quadratic forms in multivariate generalized...
Multivariate Elliptical Truncated Moments (Journal of Multivariate Analysis - Vol 157, pp.29-44)
Abstract In this study, we derive analytic expressions for the elliptical truncated moment generating function (MGF), the zeroth-,...
Monte Carlo Approximate Tensor Moment Simulations (Numerical Linear Algebra with Applications - Vol
Abstract An algorithm to generate samples with approximate first-order, second-order, third-order, and fourth-ordermoments is presented...
Multivariate Truncated Moments (Journal of Multivariate Analysis - Vol 117, p.41-75)
Abstract
We derive formulae for the higher order tail moments of the lower truncated multivariate standard normal (MVSN), Student’s t, logno