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Press, W.H., Teukolsky, S.A., Vetterling, W.T. and Flannery, B.P. (1992) Numerical Recipes in FORTRAN: The Art of Scientific Computing. 2nd Edition, Cambridge University Press, Cambridge, 89.

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• 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.