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On the Multivariate t Distribution
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2012 (English)Report (Other academic)
Abstract [en]

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.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 3059
Keyword [en]
Student's t distribution, heavy tails, Gaussian distribution
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-91686ISRN: LiTH-ISY-R-3059OAI: oai:DiVA.org:liu-91686DiVA: diva2:618567
Projects
MC Impulse
Funder
EU, FP7, Seventh Framework Programme, 238710
Available from: 2013-04-29 Created: 2013-04-29 Last updated: 2014-09-16Bibliographically approved

Open Access in DiVA

On the Multivariate t Distribution(1035 kB)1817 downloads
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File name FULLTEXT02.pdfFile size 1035 kBChecksum SHA-512
71bd3bc98a597edf89631fd2529ca1683c649871a104bbfdbe1be0170548faf1361d0f5851198adde34b2f607f1af013b2ad396382b1cd6529c0b6ee51faeaa2
Type fulltextMimetype application/pdf

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Roth, Michael

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf