About: Matrix t-distribution

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In statistics, the matrix t-distribution (or matrix variate t-distribution) is the generalization of the multivariate t-distribution from vectors to matrices. The matrix t-distribution shares the same relationship with the multivariate t-distribution that the matrix normal distribution shares with the multivariate normal distribution. For example, the matrix t-distribution is the compound distribution that results from sampling from a matrix normal distribution having sampled the covariance matrix of the matrix normal from an inverse Wishart distribution.

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  • In statistics, the matrix t-distribution (or matrix variate t-distribution) is the generalization of the multivariate t-distribution from vectors to matrices. The matrix t-distribution shares the same relationship with the multivariate t-distribution that the matrix normal distribution shares with the multivariate normal distribution. For example, the matrix t-distribution is the compound distribution that results from sampling from a matrix normal distribution having sampled the covariance matrix of the matrix normal from an inverse Wishart distribution. In a Bayesian analysis of a multivariate linear regression model based on the matrix normal distribution, the matrix t-distribution is the posterior predictive distribution. (en)
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  • No analytic expression (en)
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  • see below (en)
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  • if , else undefined (en)
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  • Generalized matrix t (en)
  • Matrix t (en)
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dbp:pdf
  • : (en)
  • : * is the multivariate gamma function. (en)
dbp:type
  • density (en)
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  • if , else undefined (en)
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  • In statistics, the matrix t-distribution (or matrix variate t-distribution) is the generalization of the multivariate t-distribution from vectors to matrices. The matrix t-distribution shares the same relationship with the multivariate t-distribution that the matrix normal distribution shares with the multivariate normal distribution. For example, the matrix t-distribution is the compound distribution that results from sampling from a matrix normal distribution having sampled the covariance matrix of the matrix normal from an inverse Wishart distribution. (en)
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  • Matrix t-distribution (en)
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