A0216
Title: Moments and random number generation for the truncated elliptical family of distributions
Authors: Katherine Valeriano - Campinas State University (Brazil)
Christian Eduardo Galarza Morales - Escuela Superior Politecnica del Litoral (Ecuador) [presenting]
Larissa Matos - Campinas State University - UNICAMP (Brazil)
Abstract: An algorithm is proposed to generate random numbers from any member of the truncated multivariate elliptical family of distributions with a strictly decreasing density generating function. Based on previous work, we construct an efficient sampling method by means of a slice sampling algorithm with Gibbs sampler steps. We also provide a faster approach to approximate the first and the second moment for the truncated multivariate elliptical distributions where Monte Carlo integration is used for the truncated partition and explicit expressions for the non-truncated part. Examples and an application to environmental spatial data illustrate its usefulness. Methods are available for free in the new R library relliptical.
