Some results on the multivariate truncated normal distribution

Authors:
William C. Horrace
Affiliations:
Center for Policy Research, Syracuse University, 426 Eggers Hall, Syracuse, NY and National Bureau of Economic Research, 1050 Massachusetts Avenue, Cambridge, MA
Venue:
Journal of Multivariate Analysis
Year:
2005

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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 MTP2 property are derived.