The R Journal: article published in 2013, volume 5:2

On Sampling from the Multivariate t Distribution PDF download
Marius Hofert , The R Journal (2013) 5:2, pages 129-136.

Abstract The multivariate normal and the multivariate t distributions belong to the most widely used multivariate distributions in statistics, quantitative risk management, and insurance. In contrast to the multivariate normal distribution, the parameterization of the multivariate t distribution does not correspond to its moments. This, paired with a non-standard implementation in the R package mvtnorm, provides traps for working with the multivariate t distribution. In this paper, common traps are clarified and corresponding recent changes to mvtnorm are presented.

Received: 2013-04-29; online 2013-11-04
CRAN packages: mvtnorm, MASS, evir, mnormt, QRM
CRAN Task Views implied by cited CRAN packages: Distributions, Multivariate, Environmetrics, ExtremeValue, Econometrics, Finance, NumericalMathematics, Pharmacokinetics, Psychometrics, Robust, SocialSciences


CC BY 4.0
This article is licensed under a Creative Commons Attribution 3.0 Unported license .

@article{RJ-2013-033,
  author = {Marius Hofert},
  title = {{On Sampling from the Multivariate t Distribution}},
  year = {2013},
  journal = {{The R Journal}},
  url = {https://journal.r-project.org/archive/2013/RJ-2013-033/index.html},
  pages = {129--136},
  volume = {5},
  number = {2}
}