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Selected Works of William C Horrace
Article
Some Results on the Multivariate Truncated Normal Distribution
Economics - All Scholarship
  • William C Horrace, Syracuse University
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Document Type
Article
Date
5-1-2005
Keywords
  • characteristic function,
  • log-concavity,
  • A-unimodality,
  • MTP2
Disciplines
Description/Abstract

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 MTP_2 property are derived.

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Creative Commons License
Creative Commons Attribution 3.0
Citation Information
William C Horrace. "Some Results on the Multivariate Truncated Normal Distribution" (2005)
Available at: http://works.bepress.com/horrace/28/