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

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.