Closure of multivariate t and related distributions

D. R. Jensen

Statistics & Probability Letters, 1994, vol. 20, issue 4, 307-312

Abstract: Let be a Studentizing transformation of the type T(Y) = [nu]A'Y/||B'Y||, and let GM(n) consist of scale mixtures of Gaussian laws on [bumpy equals]k; 1 [less-than-or-equals, slant] k [less-than-or-equals, slant] n[bumpy equals]. It is shown that GM(n) is closed under T(·). Concentration properties of these distributions are studied via peakedness on varying their parameters, showing that peakedness may be diminished, preserved, or increased under T(·). Random ratios having moments of arbitrary order are exhibited when neither the numerator nor denominator has moments of any order.

Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(94)90018-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:20:y:1994:i:4:p:307-312

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().