mvst: Multivariate student t distribution

Description Usage Arguments Value References

Description

The pdf of the Student t distribution is given in Gelman et al (2014, p.578):

(x | μ, σ, ν) = \frac{γ≤ft(\frac{ν+d}{2}\right)}{γ(\frac{ν}{2})ν^{d/2}π^{d/2}}≤ft|Σ\right|^{-1/2}≤ft(1 + \frac{1}{ν}(x-μ)'Σ^{-1}(x-μ)\right)^{-\frac{ν+d}{2}}

Usage

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dmvst(x, nu, mu, Sigma, tol = 1e-06)

rmvst(n, nu, mu, Sigma, tol = 1e-06)

Arguments

x

point at which to calculate ordinate of multivariate t density

nu

degrees of freedom, a scalar

mu

location, a numeric vector of length d

Sigma

scale, a symmetric dxd positive definite matrix

tol

tolerance for checking positive definiteness

n

number of random deviates to draw

Value

'mvdst' gives the density and 'mvrst' generates random deviates.

References

Gelman, A., Carlin, J. B., Stern, H. S., & Rubin, D. B. (2014). Bayesian data analysis (3E). Boca Raton, FL, USA: Chapman & Hall/CRC.


kuperov/acfunc documentation built on Aug. 5, 2017, 8:35 a.m.