Multivariate t distribution

Open calbertsen opened this issue 11 years ago • 2 comments

Added class to evaluate a multivariate t distribution. It has been tested with the mvtnorm package in R.

Sep 08 '14 08:09 calbertsen

Thanks, the multivariate t-distribution is definitely useful, but I wonder if it instead belongs in "distributions_R.hpp"? E.g. does SEPARABLE(MVT(Sigma,Type(4)),MVT(Sigma,Type(4)) work? I expect that the whole machinery of "density.hpp" requires normality.

If I am right it should instead be called "mvtnorm".

Hans

Sep 08 '14 17:09 skaug

Hi Hans

It is true that the current implementations of SEPARABLE_t and PROJ_t requires normality, while the others do not (AR1_t, SCALE_t and VECSCALE_t). So you are right that it does not work with SEPARABLE_t and PROJ_t, while it does work with the three others. It should however be possible to implement versions of SEPARABLE_t and PROJ_t for the multivariate t-distribution.

Sep 09 '14 12:09 calbertsen