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.