Moments Calculation for the Double Truncated Multivariate Normal Density

In the present article we deal with the problem of computing the first and second moments for the rectangularly double truncated multivariate normal density. Our primary aim is to extend the derivation of Tallis (1961) to general mean and covariance for double truncation. Indeed we also deduce a simple computer algorithm for computing the first two moments and the bivariate marginal density.

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