On the Conditional Distribution of the Multivariate Distribution

Peng Ding

The American Statistician, 2016, vol. 70, issue 3, 293-295

Abstract: 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.

Date: 2016
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Citations: View citations in EconPapers (31)

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DOI: 10.1080/00031305.2016.1164756

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