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MultivariateTDistribution

MultivariateTDistribution[r, m]
represents the multivariate Student t distribution with correlation matrix r and degrees of freedom parameter m.
  • The probability density for vector x in a multivariate t distribution is proportional to (1+x.r-1.x/m)-(m+Length[r])/2.
  • The correlation matrix r can be any symmetric matrix, with unit diagonal elements, and offdiagonal elements between -1 and 1.
  • The multivariate Student t-distribution characterizes the ratio of a standardized multinormal to the standard deviation common to each variate.
  • MultivariateTDistribution can be used with such functions as Mean, CDF, and RandomReal.
Needs["MultivariateStatistics`"]
The mean of a bivariate t distribution with 10 degrees of freedom:
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Needs["MultivariateStatistics`"]
The variances of each dimension:
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Needs["MultivariateStatistics`"]
Probability density function:
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