Re: multivariate student t distribution pdf in matlab?

On Feb 24, 10:56 am, Peter Perkins
<Peter.PerkinsRemoveT...@xxxxxxxxxxxxx> wrote:
per wrote:
i am trying to evaluate the pdf for various points that are
distributed according to a multivariate Student t distribution. all
the stat texts tell me that the multivariate t distribution pdf takes
three parameters: a mean mu and a correlation matrix C, and a degrees-
of-freedom parameter (and the point to evaluate the pdf on obviously.)

the 'mvtpdf' function in matlab takes only two arguments: a degrees-of-
freedom parameter and a correlation matrix C. what happened to the mu
(mean) parameter? is there a way to evaluate this pdf in matlab
according to the parametrization i have above?

Strictly speaking, the multivariate t has two parameters, but it's often the case that people add scale and location to that, and a simple transformation does the trick.  It's easy to compute the PDF for such a thing by unscaling and unshifting your data, then using MVTPDF and the usual rules for the PDF of a transformed variable.

Hope this helps.

hi Peter,
can you please say more about the transformation? i'm not sure i am
following. what kind of transformation of the data would make it so i
don't have to give the location (mu) parameter, but just the
covariance matrix/correlation matrix (parameter C)?
.

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