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A new mixture representation for multivariate t

Author

Listed:
  • Iranmanesh, A.
  • Arashi, M.
  • Nagar, D.K.
  • Nadarajah, S.
  • Tabatabaey, S.M.M.

Abstract

A new mixture representation is given for a generalized multivariate t distribution. It is used to derive expressions for characteristic function and distribution of quadratic forms.

Suggested Citation

  • Iranmanesh, A. & Arashi, M. & Nagar, D.K. & Nadarajah, S. & Tabatabaey, S.M.M., 2012. "A new mixture representation for multivariate t," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 227-231.
    • Handle: RePEc:eee:jmvana:v:107:y:2012:i:c:p:227-231
    DOI: 10.1016/j.jmva.2012.01.013
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    References listed on IDEAS

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    1. Kotz,Samuel & Nadarajah,Saralees, 2004. "Multivariate T-Distributions and Their Applications," Cambridge Books, Cambridge University Press, number 9780521826549, October.
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