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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
Published in: journal Statistics, Volume 39, Issue 2 April 2005 , pages 149 - 181
Formats available: HTML (English) : PDF (English)
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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.
Keywords: Multivariate normal distribution; Multivariate t distribution
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