A Multivariate Student’s t-Distribution

Estimation Methods for the Multivariate t Distribution

The known estimation and simulation methods for multivariate t distributions are reviewed. A review of selected applications is also provided. We believe that this review will serve as an important reference and encourage further research activities in the area.

On Sampling from the Multivariate t Distribution

Abstract The multivariate normal and the multivariate t distributions belong to the most widely used multivariate distributions in statistics, quantitative risk management, and insurance. In contrast to the multivariate normal distribution, the parameterization of the multivariate t distribution does not correspond to its moments. This, paired with a non-standard implementation in the R package...

Screening for a Multivariate Mixture Normal Distribution

A Multivariate Weibull Distribution

In this paper, we introduce a new multivariate Weibull (MVW) distribution with many interesting properties. We obtain the maximum likelihood estimate (MLE) of the parameters and their asymptotic multivariate normal (AMVN) distribution in MVWmodel. We propose large sample studentized tests for testing multivariate exponentiality and also tests for independence and identical marginals of the comp...

On the Multivariate T-Distribution and Some of its Applications