Calculations involving the multivariate normal and multivariate t distributions with and without truncation
Computation
2017-11-29 v1
Abstract
This paper presents a set of Stata commands and Mata functions to evaluate different distributional quantities of the multivariate normal distribution, and a particular type of non-central multivariate t distribution. Specifically, their densities, distribution functions, equicoordinate quantiles, and pseudo-random vectors can be computed efficiently, either in the absence or presence of variable truncation.
Keywords
Cite
@article{arxiv.1711.10186,
title = {Calculations involving the multivariate normal and multivariate t distributions with and without truncation},
author = {Michael Grayling and Adrian Mander},
journal= {arXiv preprint arXiv:1711.10186},
year = {2017}
}