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Mathematical Properties of the Multivariate t Distribution

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Abstract

The known mathematical properties of the multivariate t distribution are reviewed. We believe that this review will serve as an important reference and encourage further research activities in the area.

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Authors and Affiliations

  1. Department of Statistics, University of Nebraska, Lincoln, NE, 68583, USA

    Saralees Nadarajah

  2. Department of Engineering Management and Systems Engineering, The George Washington University, Washington, DC, 20052, USA

    Samuel Kotz

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  1. Saralees Nadarajah
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  2. Samuel Kotz
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Correspondence to Saralees Nadarajah.

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Nadarajah, S., Kotz, S. Mathematical Properties of the Multivariate t Distribution. Acta Appl Math 89, 53–84 (2005). https://doi.org/10.1007/s10440-005-9003-4

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