Some results on the multivariate truncated normal distribution

This note formalizes some analytical results on the n-dimensional multivariate truncated normal distribution where truncation is one-sided and at an arbitrary point. Results on linear transformations, marginal and conditional distributions, and independence are provided. Also, results on log-concavity, A-unimodality and the MTP2 property are derived.

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Year of publication:	2005
Authors:	Horrace, William C.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 94.2005, 1, p. 209-221
Publisher:	Elsevier
Subject:	Characteristic function Log-concavity A-unimodality MTP2

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160541