Some results on the multivariate truncated normal distribution

William Horrace

Journal of Multivariate Analysis, 2005, vol. 94, issue 1, 209-221

Abstract: This note formalizes some analytical results on the n-dimensional multivariate truncated normal distribution where truncation is one-sided and at an arbitrary point. Results on linear transformations, marginal and conditional distributions, and independence are provided. Also, results on log-concavity, A-unimodality and the MTP2 property are derived.

Keywords: Characteristic; function; Log-concavity; A-unimodality; MTP2 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (46)

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