Hi
I'm trying to calculate densities for the multivariate noncentral t
distribution. For the avoidance of doubt, and becuase there do seem to
be at least two definitions for a noncentral t distribution, This is a
noncentral t distribution of the sort described in McNeill Frey and
Embrechts (2005) and elsewhere that can be constructed as a normal
mean-variance mixture. It is not simply a shifted t distribution. The
univariate noncentral t distribution density can be calculated using the
function dt in the TDist package. The univariate version seems to be do
what I expect, i.e. give a distribution with a different shape.
The obvious approach for calculating a multivarate result seems to be to
use dmvt in the mvtnorm package. However, the noncentrality parameters
here appear actually to be means. In other words, they seem to simply
shift the distribution rather than calculating a noncentral mutivariate
distribution as described by McNeill et al. So, a few questions:
1. Is my understanding of what dmvt is doing correct?
2. Is this what it is supposed to be doing?
3. Is there any way of deriving the densities that I want in R (short of
writing my own function...)?
Thanks
Paul
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
