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

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On the Multivariate t Distribution(1035 kB)840 downloads
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Roth, Michael
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Automatic ControlThe Institute of Technology
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ReferencesLink to record
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