On the Conditional Distribution of the Multivariate t Distribution.
As alternatives to the normal distributions, t distributions are widely applied in robust analysis for data with outliers or heavy tails. The properties of the multivariate t distribution are well documented in Kotz and Nadarajah's book, which, however, states a wrong conclusion about the conditiona...
| Publicado en: | American Statistician Vol. 70; no. 3; pp. 293 - 296 |
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| Autor principal: | |
| Formato: | Artículo |
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Taylor & Francis Ltd
2016
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| Acceso en línea: | Ver este registro en EBSCOhost |
| Sumario: | As alternatives to the normal distributions, t distributions are widely applied in robust analysis for data with outliers or heavy tails. The properties of the multivariate t distribution are well documented in Kotz and Nadarajah's book, which, however, states a wrong conclusion about the conditional distribution of the multivariate t distribution. Previous literature has recognized that the conditional distribution of the multivariate t distribution also follows the multivariate t distribution. We provide an intuitive proof without directly manipulating the complicated density function of the multivariate t distribution. |
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