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

Author

Listed:
  • Michael J. Grayling

    (MRC Biostatistics Unit)

  • Adrian P. Mander

    (MRC Biostatistics Unit)

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.

Suggested Citation

  • Michael J. Grayling & Adrian P. Mander, 2018. "Calculations involving the multivariate normal and multivariate t distributions with and without truncation," Stata Journal, StataCorp LP, vol. 18(4), pages 826-843, December.
    • Handle: RePEc:tsj:stataj:v:18:y:2018:i:4:p:826-843
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