The multivariate complex t-distribution
2014
There exit quite a few forms of multivariate complex t distribution. in this paper, we shall describe a more general alternative and natural form. this distribution usually employed in the literature is a special case since certain restrictions have been imposed on the covariance of the real and imaginary parts of its variables. a more general distribution is proposed of which the usual distribution is shown to be a special case.
Keywords:
- Econometrics
- Multivariate stable distribution
- Inverse-Wishart distribution
- Noncentral chi-squared distribution
- Categorical distribution
- Normal-Wishart distribution
- Matrix normal distribution
- Hotelling's T-squared distribution
- Inverse-chi-squared distribution
- Mathematics
- Multivariate normal distribution
- Joint probability distribution
- Univariate distribution
- Wishart distribution
- Applied mathematics
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