On the Conditional Distribution of the Multivariate t Distribution

By Peng Ding. 2016

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ABSTRACT As alternatives to the normal distributions, t distributions are widely applied in robust analysis for data with outliers or heavy tails. The properties of the multivariate t distribution are well documented in Kotz and Nadarajah's book, which, however, states a wrong conclusion about the conditional distribution of the multivariate t distribution. Previous literature has recognized that the conditional distribution of the multivariate t distribution also follows the multivariate t distribution. We provide an intuitive proof without directly manipulating the complicated density function of the multivariate t distribution.

Subfields: Artificial Intelligence, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/72e585249a04c73616dde35e844a9dd576d9f773