Multivariate t-distribution

Dirk Eddelbuettel edd@debian.org
Sat Jan 18 15:57:00 GMT 2003


On Sat, Jan 18, 2003 at 04:49:56PM +0100, Przemyslaw Sliwa wrote:
> I would like to ask you something. I have to simulate 
> multivariate t-distribution and cannot find anything about it.
> Does anyone know how to do this.

Sure, for example GNU R has a add-on package 'mvtnorm' for it, see its
manual at

    http://cran.r-project.org/doc/packages/mvtnorm.pdf
    
There is also a companion article in the Vol 1/2 issue of R News:

    http://cran.r-project.org/doc/Rnews/

I am sure that Brian et al would welcome a port to plain C which adheres to
the GSL coding standards.

Dirk

-- 
Prediction is very difficult, especially about the future. 
				             -- Niels Bohr



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