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Mean and covariance matrix of a multivariate normal distribution with one doubly-truncated component
Tampere University of Technology, Department of Automation Science and Engineering, Finland.ORCID iD: 0000-0003-0949-8848
Universidade Federal do Rio Grande do Sul, Brazil.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering. (Automatic Control)
Universidade Federal do Rio Grande do Sul Porto Alegre, Rio Grande do Sul, Brazil.
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2016 (English)Report (Other academic)
Abstract [en]

This technical report gives analytical formulas for the mean and covariancematrix of a multivariate normal distribution with one componenttruncated from both below and above.

Place, publisher, year, edition, pages
2016. , 5 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 3092
Keyword [en]
Doubly-truncated multivariate normal distribution, mean, co-variance matrix
National Category
Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:liu:diva-130089ISRN: LiTH-ISY-R-3092OAI: oai:DiVA.org:liu-130089DiVA: diva2:957625
Available from: 2016-09-02 Created: 2016-07-06 Last updated: 2016-09-06Bibliographically approved

Open Access in DiVA

doubly-truncated(405 kB)13 downloads
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File name FULLTEXT02.pdfFile size 405 kBChecksum SHA-512
10d501b826a787c2163eea038cbda70b278a3cc9fc6cfd96a169e43e8f6e36c6e388fdf839beea9a0ff6687215a840cafb7fd5c148b0260858587c6bc94c51aa
Type fulltextMimetype application/pdf

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Nurminen, HenriRui, RafaelArdeshiri, TohidGustafsson, Fredrik
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ReferencesLink to record
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