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Activity Number: 616 - Multidisciplinary Advances in Computing
Type: Contributed
Date/Time: Thursday, August 1, 2019 : 8:30 AM to 10:20 AM
Sponsor: Section on Statistical Computing
Abstract #304502
Title: On the Fractional Moments of a Truncated Centered Multivariate Normal Distribution
Author(s): Mitsunori Ogawa* and Kazuki Nakamoto and Tomonari Sei
Companies: The University of Tokyo and Keio University and The University of Tokyo
Keywords: fractional moment; holonomic gradient method; Laplace approximation; truncated multivariate normal distribution

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.

Authors who are presenting talks have a * after their name.

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