Abstract:
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We study the fractional moments of a truncated centered multivariate normal distribution, with a focus on their computation. We develop computational methods, including the holonomic gradient method, the second-order Laplace approximation, and the Monte Carlo method. Via numerical experiments, we investigate the performances of these methods. We present several applications, including robust graphical modeling based on the alternative multivariate t-distribution, which is the original motivation for this study.
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