Multitude of multivariate t-distributions
Authors:
Saralees Nadarajah a;
Dipak K. Dey b
| Affiliations: | a Department of Statistics, University of Nebraska, Lincoln, Nebraska, USA |
| b Department of Statistics, University of Connecticut, Storrs, Connecticut, USA |
DOI:
10.1080/02331880500031407
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
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Abstract
Multivariate t-distributions have attracted limited attention of researchers for the last 70 years in spite of their increasing importance in classical as well as in Bayesian statistical modeling. These distributions have been perhaps unjustly overshadowed—during all these years—by the multivariate normal distribution. In this paper, we provide a comprehensive review of the known multivariate t distributions with the hope of encouraging further research activities in this area.
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| Keywords: Multivariate normal distribution; Multivariate t distribution |
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