New Results on Truncated Elliptical Distributions

Abstract

Truncated elliptical distributions occur naturally in theoretical and applied statistics and are essential for the study of other classes of multivariate distributions. Two members of this class are the multivariate truncated normal and multivariate truncated t distributions. We derive statistical properties of the truncated elliptical distributions. Applications of our results establish new properties of the multivariate truncated slash and multivariate truncated power exponential distributions.

Keywords

Elliptical distribution / Log-concavity / Multivariate power exponential distribution / Multivariate slash distribution / Truncated distribution

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Funding

Conselho Nacional de Desenvolvimento Científico e Tecnológico(305963-2018-0)