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

Abstract

In this article, we present a set of commands and Mata functions to evaluate different distributional quantities of the multivariate normal distribution and a particular type of noncentral multivariate t distribution. Specifically, their densities, distribution functions, equicoordinate quantiles, and pseudo–random vectors can be computed efficiently, in either the absence or the presence of variable truncation.

Publication
The Stata Journal 2018; 18(4):826-843

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