dtdf: Density of matrix t distribution with vector degrees of...

In bdemeshev/vectordf: vectordf-package: functions for distributions with vector degrees of freedom (t, gamma)

Description

Density of matrix t distribution with vector degrees of freedom

Usage

dtdf(X, M = matrix(0, nrow = length(a), ncol = ncol(B)), B = diag(1),
  a = rep(1, 2), A = diag(length(a)))

Arguments

X	matrix-point, argument for density function
M	matrix of expected values (r x s)
B	among-column scale covariance matrix for underlying standard normal (s x s)
a	vector of degrees of freedom for underlying gamma Bellman distribution (r x 1)
A	scale matrix for underlying gamma Bellman distribution (r x r)

Details

Density of matrix t distribution with vector degrees of freedom. The distribution is described in Shvedov generalisation of Algorithm by Alexey Balaev

Value

scalar, value of density function

Examples

d <- dtdf(X = matrix(1, nrow=3, ncol=1), a = c(1, 2, 3))
d

bdemeshev/vectordf documentation built on May 12, 2019, 9:40 a.m.