Jones, M. C.
(2001).
Multivariate t and beta distributions associated with the multivariate F distribution.
Metrika, 54(3)
pp. 215–231.
Abstract
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 |
| ISSN: |
0026-1335 |
| 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 |
| Item ID: |
22661 |
| Depositing User: |
Sarah Frain
|
| Date Deposited: |
12 Aug 2010 10:53 |
| Last Modified: |
02 Dec 2010 21:02 |
| URI: |
http://oro.open.ac.uk/id/eprint/22661 |
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