Jones, M. C.
|DOI (Digital Object Identifier) Link:||http://doi.org/10.1007/s184-002-8365-4|
|Google Scholar:||Look up in Google Scholar|
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.
|Item Type:||Journal Article|
|Copyright Holders:||2001 Springer-Verlag|
|Extra Information:||Please note the mathematical notation in the above abstract may not be accurate due to font limitations.|
|Keywords:||multivariate distributions; skew t distribution; Student t distribution|
|Academic Unit/Department:||Mathematics, Computing and Technology > Mathematics and Statistics
Mathematics, Computing and Technology
|Depositing User:||Sarah Frain|
|Date Deposited:||12 Aug 2010 10:53|
|Last Modified:||15 Jan 2016 14:47|
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