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Sampling distributions associated with the multivariate t distribution

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  • Saralees Nadarajah
  • Samuel Kotz

Abstract

The known sampling distributions and simulation methods associated with multivariate t distributions are reviewed. We believe that this review will serve as an important reference and encourage further research activities in the area.

Suggested Citation

  • Saralees Nadarajah & Samuel Kotz, 2005. "Sampling distributions associated with the multivariate t distribution," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(2), pages 214-234, May.
    • Handle: RePEc:bla:stanee:v:59:y:2005:i:2:p:214-234
    DOI: 10.1111/j.1467-9574.2005.00288.x
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    Cited by:

    1. Moffa, Giusi & Kuipers, Jack, 2014. "Sequential Monte Carlo EM for multivariate probit models," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 252-272.
    2. Christian N. Brinch, 2008. "Simulated Maximum Likelihood using Tilted Importance Sampling," Discussion Papers 540, Statistics Norway, Research Department.

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