The Multivariate t Distribution
Springer series in statisticsPublished 1 January 1990
Y. L. Tong
Citations40
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Abstract
If Z is an N(0, 1) variable and independent of S, where vS2 has a chi-square distribution with v degrees of freedom, then the random variable t = Z/S is called a Student's t variable with v degrees of freedom. The distribution of t can be found in elementary textbooks, and it plays a central role in statistical inference problems concerning the mean of a univariate normal distribution with unknown variance. The multivariate t distribution, defined below and studied in this chapter, is a multivariate generalization of Student's t distribution.
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Mathematics