On the Multivariate t Distribution
2012 (English)Report (Other academic)
This technical report summarizes a number of results for the multivariate t distribution which can exhibit heavier tails than the Gaussian distribution. It is shown how t random variables can be generated, the probability density function (pdf) is derived, and marginal and conditional densities of partitioned t random vectors are presented. Moreover, a brief comparison with the multivariate Gaussian distribution is provided. The derivations of several results are given in an extensive appendix.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2012. , 22 p.
LiTH-ISY-R, ISSN 1400-3902 ; 3059
Student's t distribution, heavy tails, Gaussian distribution
IdentifiersURN: urn:nbn:se:liu:diva-91686ISRN: LiTH-ISY-R-3059OAI: oai:DiVA.org:liu-91686DiVA: diva2:618567
FunderEU, FP7, Seventh Framework Programme, 238710