A Multivariate Student’s t-Distribution - Open Journal of Statistics

OJS > Vol.6 No.3, June 2016

A Multivariate Student’s t-Distribution ()

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DOI: 10.4236/ojs.2016.63040 4,798 Downloads 9,770 Views Citations

Author(s)

Daniel T. Cassidy

Affiliation(s)

Department of Engineering Physics, McMaster University, Hamilton, ON, Canada.

ABSTRACT

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.

KEYWORDS

Multivariate Student’s t, Variance, Covariance, Arbitrary Shape Parameters

Share and Cite:

Cassidy, D. (2016) A Multivariate Student’s t-Distribution. Open Journal of Statistics, 6, 443-450. doi: 10.4236/ojs.2016.63040.

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