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 different distributional quantities of the multivariate normal distribution, and a particular type of non-central multivariate t distribution. Specifically, their densities, distribution functions, equicoordinate quantiles, and pseudo-random vectors can be computed efficiently, either in the absence or presence of variable truncation.
- Publication:
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arXiv e-prints
- Pub Date:
- November 2017
- DOI:
- 10.48550/arXiv.1711.10186
- arXiv:
- arXiv:1711.10186
- Bibcode:
- 2017arXiv171110186G
- Keywords:
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- Statistics - Computation