Multivariate Student's T distribution?

rsenne
Sat, 21 Sep 2024 14:01:18 +0000
Statistics

Does there exist any active implementations of a multivariate Student’s T distribution? I need one for a model I am implementing but the only information I could find was from a multi year old issue on the Distributions.jl package that had no follow up:

github.com/JuliaStats/Distributions.jl

support for multivariate t distribution

opened 11:43PM - 22 Dec 23 UTC

SimonEnsemble

I am looking for the multi-variate t distribution, which is commonly used for Ba…yesian linear regression (see eqn. 8 [here](https://ams206-winter19-01.courses.soe.ucsc.edu/system/files/attachments/banerjee-bayesian-linear-model-details.pdf)). I found `AbstractMvTDist` in the source code [here](https://github.com/JuliaStats/Distributions.jl/blob/master/src/multivariate/mvtdist.jl), but it isn't documented, exported, and the constructor `Distributions.AbstractMvTDist(rand(3), Symmetric(rand(3, 3)))` doesn't work as I'd anticipate. is this distribution accessible for sampling via `Distributions.jl`? thanks.

Seems, that the code exists but is not exported?

6 posts - 3 participants