Multivariate elliptical truncated moments

JOURNAL OF MULTIVARIATE ANALYSIS

卷:157

Article

Arismendi, Juan C.^1,2  Broda, Simon^3,4 

[1] Univ Reading, ICMA Ctr, Henley Business Sch, Reading, Berks, England

[2] Univ Monterrey, Dept Econ Accountancy & Finance, Monterrey, Mexico

[3] Univ Amsterdam, Dept Quantitat Econ, Amsterdam, Netherlands

[4] Tinbergen Inst Amsterdam, Amsterdam, Netherlands

关键词: Elliptical functions;    Elliptical truncation;    Multivariate truncated moments;    Parametric distributions;    Quadratic forms;    Tail moments;   

DOI  :  10.1016/j.jmva.2017.02.011

来源: Elsevier

【 摘 要 】

In this study, we derive analytic expressions for the elliptical truncated moment generating function (MGF), the zeroth-, first-, and second-order moments of quadratic forms of the multivariate normal, Student's t, and generalized hyperbolic distributions. The resulting formulas were tested in a numerical application to calculate an analytic expression of the expected shortfall of quadratic portfolios with the benefit that moment based sensitivity measures can be derived from the analytic expression. The convergence rate of the analytic expression is fast - one iteration - for small closed integration domains, and slower for open integration domains when compared to the Monte Carlo integration method. The analytic formulas provide a theoretical framework for calculations in robust estimation, robust regression, outlier detection, design of experiments, and stochastic extensions of deterministic elliptical curves results. (C) 2017 Elsevier Inc. All rights reserved.

【 授权许可】

Free