Actually, I just found an earlier derivation by Tony O’Hagan, which dates back to…1976! And remained unpublished after being rejected by JRSS Series B.

]]>Thanks a lot for the reference: the paper does not seem to have appeared yet, but I knew this derivation had to have been made somewhere sometimes!

]]>a recent article that may interest you:

Some results on the truncated multivariate t distribution

Journal of Statistical Planning and Inference Vol 142(1) Pages 25-40

Hsiu J. Ho, Tsung-I. Lin, Hsuan-Yu Chen, Wan-Lun Wang

“We provide explicit matrix expressions for the first two moments of the truncated multivariate t (TMVT) distribution. We apply the slice sampling to generate random variates from the TMVT distribution by introducing auxiliary variables. We describe an algorithm to draw TMVT samples from a series of full conditionals that are of uniform distributions. Practical applications are given to demonstrate the effectiveness and importance of our methodology.” ]]>