On Sampling from the Multivariate t Distribution

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.

Marius Hofert

CRAN packages used

mvtnorm, MASS, evir, mnormt, QRM

CRAN Task Views implied by cited packages

Distributions, Multivariate, Environmetrics, ExtremeValue, Econometrics, Finance, NumericalMathematics, Pharmacokinetics, Psychometrics, Robust, SocialSciences


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For attribution, please cite this work as

Hofert, "The R Journal: On Sampling from the Multivariate t Distribution", The R Journal, 2013

BibTeX citation

  author = {Hofert, Marius},
  title = {The R Journal: On Sampling from the Multivariate t Distribution},
  journal = {The R Journal},
  year = {2013},
  note = {https://doi.org/10.32614/RJ-2013-033},
  doi = {10.32614/RJ-2013-033},
  volume = {5},
  issue = {2},
  issn = {2073-4859},
  pages = {129-136}