Title: On Moments of Folded and Truncated Multivariate Normal Distributions
Abstract: Recurrence relations for integrals that involve the density of multivariate normal distributions are developed. These recursions allow fast computation of the moments of folded and truncated multivariate normal distributions. Besides being numerically efficient, the proposed recursions also allow us to obtain explicit expressions of low-order moments of folded and truncated multivariate normal distributions. Supplementary material for this article is available online.
Publication Year: 2017
Publication Date: 2017-10-02
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 73
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