SEARCH MATHEMATICA 8 DOCUMENTATION

THIS IS DOCUMENTATION FOR AN OBSOLETE PRODUCT.
SEE THE DOCUMENTATION CENTER FOR THE LATEST INFORMATION.

Multivariate Statistics Package Symbol

MultivariateTDistribution

MultivariateTDistribution[r, m]
represents the multivariate Student t distribution with correlation matrix r and degrees of freedom parameter m.

To use MultivariateTDistribution, you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].

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:

Needs["MultivariateStatistics`"]

The variances of each dimension:

Needs["MultivariateStatistics`"]

Probability density function: