Jones, M. C.
Multivariate t and beta distributions associated with the multivariate F distribution.
Metrika, 54(3) pp. 215–231.
elationships between F, skew t and beta distributions in the univariate case are in this paper extended in a natural way to the multivariate case. The result is two new distributions: a multivariate t/skew t distribution (on Rm) and a multivariate beta distribution (on (0,1)m). A special case of the former distribution is a new multivariate symmetric t distribution. The new distributions have a natural relationship to the standard multivariate F distribution (on (R+)m) and many of their properties run in parallel. We look at: joint distributions, mathematically and graphically; marginal and conditional distributions; moments; correlations; local dependence; and some limiting cases.
||Please note the mathematical notation in the above abstract may not be accurate due to font limitations.
||multivariate distributions; skew t distribution; Student t distribution
||Mathematics, Computing and Technology > Mathematics and Statistics
||12 Aug 2010 10:53
||02 Dec 2010 21:02
Actions (login may be required)