Multivariate t Distributions and Their Applications

By Alexander J. McNeil. 2006

112 citations recorded by the source corpus.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/f1a6fc476e0e9e6e9002d545558e5bb01e56d2ff

Citations in the corpus

• Extreme value properties of multivariate t copulas (2009, unknown): “…function of (2.3) for the t copula is expressed as ∂b ∂wj = lim u↓0 Pr{Xi ≤ −(uwi/αν)−1/ν ,∀i ∈ Ij | Xj = −(uwj/αν)−1/ν}, 1 ≤ j ≤ d. (2.5) To obtain the conditional distribution in (2.5) from the multivariate t distribution, we need the following result (see, e.g., Kotz and Nadarajah, 2004).”