CDF No analytic expression | ||
Notation T
n
,
p
(
ν
,
M
,
Σ
,
Ω
)
{\displaystyle {\rm {T}}_{n,p}(\nu ,\mathbf {M} ,{\boldsymbol {\Sigma }},{\boldsymbol {\Omega }})} Parameters M
{\displaystyle \mathbf {M} }
location (real
n
×
p
{\displaystyle n\times p}
matrix)
Ω
{\displaystyle {\boldsymbol {\Omega }}}
scale (positive-definite real
p
×
p
{\displaystyle p\times p}
matrix)
Σ
{\displaystyle {\boldsymbol {\Sigma }}}
scale (positive-definite real
n
×
n
{\displaystyle n\times n}
matrix)
ν
{\displaystyle \nu }
degrees of freedom Support X
∈
R
n
×
p
{\displaystyle \mathbf {X} \in \mathbb {R} ^{n\times p}} PDF Γ
p
(
ν
+
n
+
p
−
1
2
)
(
π
)
n
p
2
Γ
p
(
ν
+
p
−
1
2
)
|
Ω
|
−
n
2
|
Σ
|
−
p
2
{\displaystyle {\frac {\Gamma _{p}\left({\frac {\nu +n+p-1}{2}}\right)}{(\pi )^{\frac {np}{2}}\Gamma _{p}\left({\frac {\nu +p-1}{2}}\right)}}|{\boldsymbol {\Omega }}|^{-{\frac {n}{2}}}|{\boldsymbol {\Sigma }}|^{-{\frac {p}{2}}}}
×
|
I
n
+
Σ
−
1
(
X
−
M
)
Ω
−
1
(
X
−
M
)
T
|
−
ν
+
n
+
p
−
1
2
{\displaystyle \times \left|\mathbf {I} _{n}+{\boldsymbol {\Sigma }}^{-1}(\mathbf {X} -\mathbf {M} ){\boldsymbol {\Omega }}^{-1}(\mathbf {X} -\mathbf {M} )^{\rm {T}}\right|^{-{\frac {\nu +n+p-1}{2}}}} Mean M
{\displaystyle \mathbf {M} }
if
ν
+
p
−
n
>
1
{\displaystyle \nu +p-n>1}
, else undefined |
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.
Contents
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.
Definition
For a matrix t-distribution, the probability density function at the point
where the constant of integration K is given by
Here
The characteristic function and various other properties can be derived from the generalized matrix t-distribution (see below).
Generalized matrix t-distribution
The generalized matrix t-distribution is a generalization of the matrix t-distribution with two parameters α and β in place of ν.
This reduces to the standard matrix t-distribution with
The generalized matrix t-distribution is the compound distribution that results from an infinite mixture of a matrix normal distribution with an inverse multivariate gamma distribution placed over either of its covariance matrices.
Properties
If
This makes use of the following:
If
The characteristic function is
where
and where