Estimation of parameters in a truncated trivariate normal distribution

This paper gives maximum-likelihood estimators for certain parameters in a truncated trivariate normal distribution when the values of the other parameters are known. The estimators are functions of a random sample. Approximate variances and covariances of the estimators, when the sample size is large, are also given. The type of truncation considered is merely restriction of the range of one of the variates, whose true mean and variance are assumed to be known. Two cases of such restriction are treated: (a) (δ ≤x < + ∞); (b) (- ∞ <x ≤ δ'), where δ and δ' are arbitrary “cutoff points” which are assumed to be known. A precise statement of the estimation problem is given in Section 1. Section 2 contains preliminary calculations. The estimators appear in Section 3. The asymptotic variances and covariances of the estimators are given in Section 4. The estimators and their asymptotic variances and covariances can be easily specialized to be suitable for the case of a certain truncated bivariate normal distribution (Sections 3 and 4).