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