Function File: p = mvtpdf (x, sigma, nu)

Compute the probability density function of the multivariate Student’s t distribution.

Arguments

• x are the points at which to find the probability, where each row corresponds to an observation. (n by d matrix)
• sigma is the scale matrix. (d by d symmetric positive definite matrix)
• nu is the degrees of freedom. (scalar or n vector)

The distribution is assumed to be centered (zero mean).

Return values

• p is the probability density for each row of x. (n by 1 vector)

Examples

x = [1 2];
sigma = [1.0 0.5; 0.5 1.0];
nu = 4;
p = mvtpdf (x, sigma, nu)

References

1. Michael Roth, On the Multivariate t Distribution, Technical report from Automatic Control at Linkoepings universitet, http://users.isy.liu.se/en/rt/roth/student.pdf

Package: statistics