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

11/28/2017

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by   Michael Grayling, et al.

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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.