MultivariateTDistribution

As of Version 8, MultivariateTDistribution is part of the built-in Mathematica kernel.


represents the multivariate Student distribution with scale matrix and degrees of freedom parameter m.


represents the multivariate Student distribution with location , scale matrix , and m degrees of freedom.

DetailsDetails

  • To use , 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-).-1.(x-)/m)-(m+Length[])/2.
  • The scale matrix can be any real-valued symmetric positive definite matrix.
  • With specified location , can be any vector of real numbers, and can be any symmetric positive definite p×p matrix with p=Length[].
  • The multivariate Student distribution characterizes the ratio of a multinormal to the covariance between the variates.
  • can be used with such functions as Mean, CDF, and RandomReal.
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