Mathematics
3 years ago

New method speeds up computation of complex financial data analysis.

Journal of Computational and Graphical Statistics
On Moments of Folded and Doubly Truncated Multivariate Extended Skew-Normal Distributions
Christian E. Galarza, Larissa A. Matos, Dipak K. Dey, Víctor H. Lachos

Paper Summary

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The article develops a faster way to calculate moments of certain skewed and folded distributions, which are used in finance. By using a special method, researchers found a way to compute these moments more efficiently, making the process simpler and faster. This new approach can be helpful for practitioners in the field.