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arXiv · 1711.10186

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

Michael Grayling·Adrian Mander
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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.

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Michael Grayling, Adrian Mander. 2017-11-28. Calculations involving the multivariate normal and multivariate t distributions with and without truncation. https://arxiv.org/abs/1711.10186

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