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Some Results On The Multivariate Truncated Normal Distribution, William C. Horrace
Some Results On The Multivariate Truncated Normal Distribution, William C. Horrace
Economics - All Scholarship
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.