A new mixture representation for multivariate t

A. Iranmanesh, M. Arashi, D.K. Nagar, S. Nadarajah and S.M.M. Tabatabaey

Journal of Multivariate Analysis, 2012, vol. 107, issue C, 227-231

Abstract: A new mixture representation is given for a generalized multivariate t distribution. It is used to derive expressions for characteristic function and distribution of quadratic forms.

Keywords: Inverse gamma distribution; Multivariate normal distribution; Multivariate t distribution (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.jmva.2012.01.013

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