MultivariateTDistribution

MultivariateTDistribution[Σ,ν]
represents the multivariate Student distribution with scale matrix Σ and degrees of freedom parameter ν.

MultivariateTDistribution[μ,Σ,ν]
represents the multivariate Student distribution with location μ, scale matrix Σ, and ν degrees of freedom.

DetailsDetails

  • The probability density for vector in a multivariate distribution is proportional to , where is the length of .
  • The multivariate Student distribution characterizes the ratio of a multinormal to the covariance between the variates.
  • MultivariateTDistribution allows Σ to be any × symmetric positive definite matrix, μ any vector of real numbers where p=Length[μ], and ν any positive real number.
  • MultivariateTDistribution can be used with such functions as Mean, CDF, and RandomVariate.
Introduced in 2010
(8.0)