Statistics, Department of
The R Journal
Accessibility Remediation
If you are unable to use this item in its current form due to accessibility barriers, you may request remediation through our remediation request form.
Date of this Version
12-2013
Document Type
Article
Citation
The R Journal (December 2013) 5(2); Editor: Hadley Wickham
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 mvtnorm, provides traps for working with the multivariate t distribution. In this paper, common traps are clarified and corresponding recent changes to mvtnorm are presented.
Included in
Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2013, The R Foundation. Open access material. License: CC BY 3.0 Unported