Calculations involving the multivariate normal and multivariate t distributions with and without truncation
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Authors
Grayling, MJ
Mander, AP
Publication Date
2018Journal Title
Stata Journal
ISSN
1536-867X
Publisher
DPC Nederland
Volume
18
Issue
4
Number
st0542
Pages
826-843
Type
Article
This Version
AM
Metadata
Show full item recordCitation
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
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.
Keywords
st0542, mvnormalden, pmvnormal, invmvnormal, rmvnormal, mvtden, mvt, invmvt, rmvt, tmvnormalden, tmvnormal, invtmvnormal, rtmvnormal, tmvtden, tmvt, invtmvt, rtmvt, multivariate normal, multivariate t, truncated distribution
Sponsorship
Wellcome Trust (099770/Z/12/Z)
MRC (unknown)
Embargo Lift Date
2100-01-01
Identifiers
External DOI: https://doi.org/10.1177/1536867X1801800405
This record's URL: https://www.repository.cam.ac.uk/handle/1810/287732
Rights
Licence:
http://www.rioxx.net/licenses/all-rights-reserved
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