TITLE:
A Multivariate Student’s t-Distribution
AUTHORS:
Daniel T. Cassidy
KEYWORDS:
Multivariate Student’s t, Variance, Covariance, Arbitrary Shape Parameters
JOURNAL NAME:
Open Journal of Statistics,
Vol.6 No.3,
June
17,
2016
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.