A multivariate Student’s t-distribution is derived by analogy to the derivation of a multivariate normal (Gaussian) probability density function. This multivariate Student’s t-distribution can have different shape p...A multivariate Student’s t-distribution is derived by analogy to the derivation of a multivariate normal (Gaussian) probability density function. This multivariate Student’s t-distribution can have different shape parameters for the marginal probability density functions of the multivariate distribution. Expressions for the probability density function, for the variances, and for the covariances of the multivariate t-distribution with arbitrary shape parameters for the marginals are given.展开更多
文摘A multivariate Student’s t-distribution is derived by analogy to the derivation of a multivariate normal (Gaussian) probability density function. This multivariate Student’s t-distribution can have different shape parameters for the marginal probability density functions of the multivariate distribution. Expressions for the probability density function, for the variances, and for the covariances of the multivariate t-distribution with arbitrary shape parameters for the marginals are given.
