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-, first-, and second-order moments of quadratic forms of the multivariate normal, Student’s t, and generalized hyperbolic distributions. The resulting formulas were tested in a numerical application to calculate an analytic expression of the expected shortfall of quadratic portfolios with the benefit that moment based sensitivity measures can be derived from the analytic expression. The convergence rate of the analytic expression is fast–one iteration–for small closed integration domains, and slower for open integration domains when compared to the Monte Carlo integration method. The analytic formulas provide a theoretical framework for calculations in robust estimation, robust regression, outlier detection, design of experiments, and stochastic extensions of deterministic elliptical curves results.

Link: http://dx.doi.org/10.1016/j.jmva.2017.02.011