On multivariate folded normal distribution

Chakraborty, Ashis Kumar; Chatterjee, Moutushi

doi:10.1007/s13571-013-0064-5

Cited by 25 publications

(11 citation statements)

References 12 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…First, we established some general results for the pdf, cdf and moments of multivariate folded distributions (MFD). These extend the results found in [20] for a FN distribution to any multivariate distribution, as well as the multivariate location-scale family. The proofs are given in Appendix A. Theorem 4 (pdf and cdf of a MFD).…”

Section: On Moments Of Multivariate Folded Esn Distributionssupporting

confidence: 86%

On moments of folded and doubly truncated multivariate extended skew-normal distributions

Galarza¹,

Matos²,

Dey³

et al. 2020

Preprint

View full text Add to dashboard Cite

This paper develops recurrence relations for integrals that relate the density of multivariate extended skew-normal (ESN) distribution, including the well-known skew-normal (SN) distribution introduced by [1] and the popular multivariate normal distribution. These recursions offer a fast computation of arbitrary order product moments of the multivariate truncated extended skew-normal and multivariate folded extended skew-normal distributions with the product moments as a byproduct. In addition to the recurrence approach, we realized that any arbitrary moment of the truncated multivariate extended skew-normal distribution can be computed using a corresponding moment of a truncated multivariate normal distribution, pointing the way to a faster algorithm since a less number of integrals is required for its computation which result much simpler to evaluate. Since there are several methods available to calculate the first two moments of a multivariate truncated normal distribution, we propose an optimized method that offers a better performance in terms of time and accuracy, in addition to consider extreme cases in which other methods fail. The R MomTrunc package provides these new efficient methods for practitioners.

show abstract

Section: On Moments Of Multivariate Folded Esn Distributionssupporting

confidence: 86%

On moments of folded and doubly truncated multivariate extended skew-normal distributions

Galarza¹,

Matos²,

Dey³

et al. 2020

Preprint

View full text Add to dashboard Cite

show abstract

“…The log-normal distribution cannot handle the large span of strong negative covariances observed in the data set. We could not find in the literature a natural multivariate version of another distribution that would accommodate arbitrary covariances as required to calibrate our model, although we explored variants of the beta, 62 gamma, 63 and folded normal 64 distributions.…”

Section: Discussionmentioning

confidence: 99%

Uncertainty of Consumption-Based Carbon Accounts

Rodrigues

Moran

Wood

et al. 2018

Environ. Sci. Technol.

View full text Add to dashboard Cite

Consumption-based carbon accounts (CBCAs) track how final demand in a region causes carbon emissions elsewhere due to supply chains in the global economic network, taking into account international trade. Despite the importance of CBCAs as an approach for understanding and quantifying responsibilities in climate mitigation efforts, very little is known of their uncertainties. Here we use five global multiregional input-output (MRIO) databases to empirically calibrate a stochastic multivariate model of the global economy and its GHG emissions in order to identify the main drivers of uncertainty in global CBCAs. We find that the uncertainty of country CBCAs varies between 2 and 16% and that the uncertainty of emissions does not decrease significantly with their size. We find that the bias of ignoring correlations in the data (that is, independent sampling) is significant, with uncertainties being systematically underestimated. We find that both CBCAs and source MRIO tables exhibit strong correlations between the sector-level data of different countries. Finally, we find that the largest contributors to global CBCA uncertainty are the electricity sector data globally and Chinese national data in particular. We anticipate that this work will provide practitioners an approach to understand CBCA uncertainties and researchers compiling MRIOs a guide to prioritize uncertainty reduction efforts.

show abstract

“…folded Normal variables. Using the formula for the mean of the folded normal distribution (see Chakraborty and Chatterjee (2013) for instance), we get…”

Section: Discussionmentioning

confidence: 99%

Characteristics-based portfolio choice with leverage constraints

Ammann

Coqueret

Schade

2016

Journal of Banking & Finance

View full text Add to dashboard Cite

We show that the introduction of a leverage constraint improves the practical implementation of characteristics-based portfolios. The addition of the constraint leads to significantly lower transaction costs, to a reduction of negative portfolio weights, and to a decrease in volatility and misspecification risk. Furthermore, it allows investors to implement any desired level of leverage. In this study, we include 12 characteristics, thereby extending the classical size, bookto-market and momentum paradigm. We report several key indicators such as the proportion of negative weights, Sharpe ratio, volatility, transaction costs, the transaction cost-adjusted certainty equivalent returns, and the Herfindahl-Hirschman index. Analyzing the sensitivity of these key indicators to the choice of multiple combinations of the 12 characteristics, to risk aversion, and to estimation sample size, we show that constrained policies are much less sensitive to these parameters than their unconstrained counterparts. Finally, for quadratic utility, we derive a semi-closed analytical form for the portfolio weights. Overall, we provide a comprehensive extension of characteristics-based portfolio choice and contribute to a better understanding and implementation of the allocation process.

show abstract

On multivariate folded normal distribution

Cited by 25 publications

References 12 publications

On moments of folded and doubly truncated multivariate extended skew-normal distributions

On moments of folded and doubly truncated multivariate extended skew-normal distributions

Uncertainty of Consumption-Based Carbon Accounts

Characteristics-based portfolio choice with leverage constraints

Contact Info

Product

Resources

About