mnormt (Q16735)
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The Multivariate Normal and t Distributions, and Their Truncated Versions
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | mnormt |
The Multivariate Normal and t Distributions, and Their Truncated Versions |
Statements
Alan Genz
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27 January 2026
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Functions are provided for computing the density and the distribution function of multi-dimensional normal and "t" random variables, possibly truncated (on one side or two sides), and for generating random vectors sampled from these distributions, except sampling from the truncated "t". Moments of arbitrary order of a multivariate truncated normal are computed, and converted to cumulants up to order 4. Probabilities are computed via non-Monte Carlo methods; different routines are used in the case d=1, d=2, d=3, d>3, if d denotes the dimensionality.
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Identifiers
3 October 2022
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