Calculations involving the multivariate normal and multivariate t distributions with and without truncation
Accepted version
Peer-reviewed
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Repository DOI
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Authors
Grayling, MJ
Mander, AP
Abstract
This paper presents a set of Stata commands and Mata functions to evaluate di erent distributional quantities of the multivariate normal distribution, and a particular type of non-central multivariate t distribution. Speci cally, their densities, distribution functions, equicoordinate quantiles, and pseudo-random vectors can be computed e ciently, either in the absence or presence of variable truncation.
Description
Keywords
st0542, mvnormalden, pmvnormal, invmvnormal, rmvnormal, mvtden, mvt, invmvt, rmvt, tmvnormalden, tmvnormal, invtmvnormal, rtmvnormal, tmvtden, tmvt, invtmvt, rtmvt, multivariate normal, multivariate t, truncated distribution
Journal Title
Stata Journal
Conference Name
Journal ISSN
1536-867X
1536-8734
1536-8734
Volume Title
18
Publisher
DPC Nederland
Publisher DOI
Sponsorship
Wellcome Trust (099770/Z/12/Z)
MRC (unknown)
MRC (unknown)