Title: On moments of truncated multivariate Student-t distribution: A recurrence approach
Authors: Victor Hugo Lachos Davila - University of Connecticut (United States)
Christian Galarza - State University of Campinas (Brazil) [presenting]
Tsung-I Lin - National Chung Hsing University (Taiwan)
Wan-Lun Wang - Feng Chia University (Taiwan)
Abstract: Recurrence relations for integrals that involve the density of multivariate Student-t distributions are developed. These recursions allow fast computation of the moments of folded and truncated multivariate normal and Student-t distributions. Besides being numerically efficient, the proposed recursions also allow us to obtain explicit expressions of low order moments of folded and truncated multivariate Student-t distributions. The newly methods are implemented in the new R package MoMtt.