2020
DOI: 10.48550/arxiv.2009.13488
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On moments of folded and doubly truncated multivariate extended skew-normal distributions

Abstract: This paper develops recurrence relations for integrals that relate the density of multivariate extended skew-normal (ESN) distribution, including the well-known skew-normal (SN) distribution introduced by [1] and the popular multivariate normal distribution. These recursions offer a fast computation of arbitrary order product moments of the multivariate truncated extended skew-normal and multivariate folded extended skew-normal distributions with the product moments as a byproduct. In addition to the recurrenc… Show more

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Cited by 2 publications
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“…Considering the notation of Galarza et al (2020), we say that a random vector Y of length p follows an extended skew-normal (ESN, Gupta et al, 2004)…”
Section: Multivariate Extended Skew-normal Distributionmentioning
confidence: 99%
“…Considering the notation of Galarza et al (2020), we say that a random vector Y of length p follows an extended skew-normal (ESN, Gupta et al, 2004)…”
Section: Multivariate Extended Skew-normal Distributionmentioning
confidence: 99%