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2015•RePEc: Research Papers in EconomicsRequires access

MVTNORM: Stata module to work with the multivariate normal and multivariate t distributions

Michael J. Grayling, Adrian Mander

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Abstract

A set of commands that allow users to compute the distribution function, density, equi-coordinate quantiles, and random vectors of the multivariate normal and multivariate t distributions. Any non-degenerate cases of the multivariate normal and multivariate t distributions can be worked with, along with a particular class of non-central multivariate t distributions. The commands are written in a combination of Stata and Mata for speed.

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What this paper is about

A set of commands that allow users to compute the distribution function, density, equi-coordinate quantiles, and random vectors of the multivariate normal and multivariate t distributions. Any non-degenerate cases of the multivariate normal and multivariate t distributions can be worked with, along with a particular class of non-central multivariate t distributions. The commands are written in a combination of Stata and Mata for speed.

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Available abstract

A set of commands that allow users to compute the distribution function, density, equi-coordinate quantiles, and random vectors of the multivariate normal and multivariate t distributions. Any non-degenerate cases of the multivariate normal and multivariate t distributions can be worked with, along with a particular class of non-central multivariate t distributions. The commands are written in a combination of Stata and Mata for speed.

Key concepts: Multivariate statistics, Multivariate analysis, Multivariate t-distribution, Multivariate normal distribution, Mathematics, Quantile, Matrix t-distribution, Multivariate analysis of variance

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