Calculations involving the multivariate normal and multivariate t distributions with and without truncation
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Grayling, M., & Mander, A. (2018). Calculations involving the multivariate normal and multivariate t distributions with and without truncation. Stata Journal, 18 (4. st0542), 826-843. https://doi.org/10.1177/1536867X1801800405
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.
Wellcome Trust (099770/Z/12/Z)
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External DOI: https://doi.org/10.1177/1536867X1801800405
This record's URL: https://www.repository.cam.ac.uk/handle/1810/287732