Calculations involving the multivariate normal and multivariate t distributions with and without truncation

Michael Grayling and Adrian Mander ()

Stata Journal, 2018, vol. 18, issue 4, 826-843

Abstract: In this article, we present a set of commands and Mata functions to eval- uate different distributional quantities of the multivariate normal distribution and a particular type of noncentral multivariate t distribution. Specifically, their densi- ties, distribution functions, equicoordinate quantiles, and pseudo–random vectors can be computed efficiently, in either the absence or the presence of variable trun- cation.

Keywords: mvnormalden; pmvnormal; invmvnormal; rmvnormal; mvtden; mvt; invmvt; rmvt; tmvnormalden; tmvnormal; invtmvnormal; rtmvnormal; tmvtden; tmvt; invtmvt; rtmvt; multivariate normal; multivariate t; truncated distribution (search for similar items in EconPapers)
Date: 2018
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