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Independence properties of the truncated multivariate elliptical distributions

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  • Levine, Michael
  • Richards, Donald
  • Su, Jianxi

Abstract

We characterize the truncated multivariate normal random vectors for which two complementary sub-vectors are mutually independent, and an analogous characterization is obtained for multivariate truncated elliptical distributions. An application to testing data on high-school and college test scores is provided.

Suggested Citation

  • Levine, Michael & Richards, Donald & Su, Jianxi, 2020. "Independence properties of the truncated multivariate elliptical distributions," Statistics & Probability Letters, Elsevier, vol. 161(C).
    • Handle: RePEc:eee:stapro:v:161:y:2020:i:c:s0167715220300328
    DOI: 10.1016/j.spl.2020.108729
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    References listed on IDEAS

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    1. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492, National Bureau of Economic Research, Inc.
    2. McDonald, James B. & Xu, Yexiao J., 1995. "A generalization of the beta distribution with applications," Journal of Econometrics, Elsevier, vol. 69(2), pages 427-428, October.
    3. Amemiya, Takeshi, 1974. "Multivariate Regression and Simultaneous Equation Models when the Dependent Variables Are Truncated Normal," Econometrica, Econometric Society, vol. 42(6), pages 999-1012, November.
    4. Alexander Shapiro & Jos Berge, 2002. "Statistical inference of minimum rank factor analysis," Psychometrika, Springer;The Psychometric Society, vol. 67(1), pages 79-94, March.
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