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

Accepted version
Peer-reviewed

Type

Article

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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

Volume Title

18

Publisher

DPC Nederland
Sponsorship
Wellcome Trust (099770/Z/12/Z)
MRC (unknown)