MVTNORM: Stata module to work with the multivariate normal and multivariate t distributions, with and without variable truncation

Michael Grayling and Adrian Mander ()

Statistical Software Components from Boston College Department of Economics

Abstract: A set of commands that allows users to evaluate different distributional quantities of the multivariate normal distribution, and a particular type of non-central multivariate t distribution. Specifically, their probability density functions, distribution functions, equicoordinate quantiles, and pseudo-random vectors can be computed, either in the absence or presence of variable truncation. The commands are written in a combination of Stata and Mata for speed. In addition, a set of corresponding Mata functions is provided.

Language: Stata
Requires: Stata version 11
Keywords: normal distribution; multivariate normal; t distribution; multivariate t; truncation (search for similar items in EconPapers)
Date: 2015-07-17, Revised 2021-12-24
Note: This module should be installed from within Stata by typing "ssc install mvtnorm". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/mvnormalden.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvnormalden.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/i/invmvnormal.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/invmvnormal.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/i/invmvt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/invmvt.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/i/invtmvnormal.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/invtmvnormal.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/i/invtmvt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/invtmvt.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvt.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvtden.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvtden.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pmvnormal.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pmvnormal.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rmvnormal.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rmvnormal.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rmvt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rmvt.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rtmvnormal.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rtmvnormal.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rtmvt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rtmvt.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tmvnormal.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tmvnormal.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tmvnormalden.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tmvnormalden.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tmvt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tmvt.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tmvtden.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tmvtden.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvtnorm_mata_functions.do Mata code (text/plain)

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