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

• Autores: Michael J. Grayling, Adrian P. Mander
• Localización: The Stata journal, ISSN 1536-867X, Vol. 18, Nº. 4, 2018, págs. 826-843
• Idioma: inglés
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• Resumen

  • 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.