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A study of the effects of truncation in bivariate normal distribution
Author(s) -
Gupta A. K.,
Tracy D. S.
Publication year - 1980
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/bimj.4710220705
Subject(s) - mathematics , truncation (statistics) , bivariate analysis , correlation coefficient , hermite polynomials , distribution (mathematics) , statistics , correlation ratio , fisher transformation , correlation , truncated normal distribution , mathematical analysis , geometry
Abstract The moments of bivariate normal distribution, which is truncated with respect to both the random variables, are obtained by using the orthogonal expansion of the distribution and the properties of HERMITE polynomials. In particular the correlation coefficient of the truncated distribution is derived in terms of the actual correlation coefficient. In order to study the effect of truncation tables have been prepared of this correlation coefficient for certain given values of the actual correlation coefficient and for a few selected values of the points of truncation. A listing of the computer program for this purpose is also given.