R package MomTrunc: Moments of Folded and Doubly Truncated Multivariate Distributions. It computes arbitrary products moments (mean vector and variance-covariance matrix), for some double truncated (and folded) multivariate distributions. These distributions belong to the family of selection elliptical distributions, which includes well known skewed distributions as the unified skew-t distribution (SUT) and its particular cases as the extended skew-t (EST), skew-t (ST) and the symmetric student-t (T) distribution. Analogous normal cases unified skew-normal (SUN), extended skew-normal (ESN), skew-normal (SN), and symmetric normal (N) are also included. Density, probabilities and random deviates are also offered for these members. References used for this package: Arellano-Valle, R. B. & Genton, M. G. (2005). On fundamental skew distributions. Journal of Multivariate Analysis, 96, 93-116. Galarza C.E., Matos L.A., Dey D.K. & Lachos V.H. (2019) On Moments of Folded and Truncated Multivariate Extended Skew-Normal Distributions. Technical report. ID 19-14. University of Connecticut. <https://stat.uconn.edu/tech-reports-2019/>.
Keywords for this software
References in zbMATH (referenced in 6 articles , 1 standard article )
Showing results 1 to 6 of 6.
- Arellano-Valle, Reinaldo B.; Azzalini, Adelchi: Some properties of the unified skew-normal distribution (2022)
- Galarza, Christian E.; Matos, Larissa A.; Castro, Luis M.; Lachos, Victor H.: Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-(t) distribution (2022)
- Wang, Wan-Lun; Lin, Tsung-I: Robust clustering of multiply censored data via mixtures of (t) factor analyzers (2022)
- Galarza, Christian E.; Lin, Tsung-I; Wang, Wan-Lun; Lachos, Víctor H.: On moments of folded and truncated multivariate Student-(t) distributions based on recurrence relations (2021)
- Lachos, Victor H.; Prates, Marcos O.; Dey, Dipak K.: Heckman selection-(t) model: parameter estimation via the EM-algorithm (2021)
- Ogasawara, Haruhiko: A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation (2021)