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

被引：0

作者：

Grayling, Michael J. ^{[1
]}

Mander, Adrian P. ^{[1
]}

机构：

[1] MRC Biostat Unit, Hub Trials Methodol Res, Cambridge, England

来源：

STATA JOURNAL | 2018年 / 18卷 / 04期

基金：

英国惠康基金; 英国医学研究理事会;

关键词：

st0542; mvnormalden; pmvnormal; invmvnormal; rmvnormal; mvtden; mvt; invmvt; rmvt; tmvnormalden; tmvnormal; invtmvnormal; rtmvnormal; tmvtden; tmvt; invtmvt; rtmvt; multivariate normal; multivariate t; truncated distribution; SIMULATION;

D O I：

10.1177/1536867X1801800405

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

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.

引用

页码：826 / 843

页数：18

共 21 条

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