Calculations involving the multivariate normal and multivariate t distributions with and without truncation
Michael J. Grayling
Hub for Trials Methodology Research
MRC Biostatistics Unit
Cambridge, UK
[email protected]
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Adrian P. Mander
Hub for Trials Methodology Research
MRC Biostatistics Unit
Cambridge, UK
[email protected]
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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.
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Michael J. Grayling, Adrian P. Mander
View all articles with these keywords:
mvnormalden, pmvnormal, invmvnormal, rmvnormal, mvtden, mvt, invmvt, rmvt, tmvnormalden, tmvnormal, invtmvnormal, rtmvnormal, tmvtden, tmvt, invtmvt, rtmvt, multivariate normal, multivariate t, truncated distribution
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