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Re: Multivariate t-distribution
- From: Dirk Eddelbuettel <edd at debian dot org>
- To: Przemyslaw Sliwa <sliwa at euv-frankfurt-o dot de>
- Cc: gsl-discuss at sources dot redhat dot com
- Date: Sat, 18 Jan 2003 09:57:10 -0600
- Subject: Re: Multivariate t-distribution
- References: <SSRMHF0FETO3XYW76A0VQPK5108WD8.3e2977a4@GRADU>
On Sat, Jan 18, 2003 at 04:49:56PM +0100, Przemyslaw Sliwa wrote:
> I would like to ask you something. I have to simulate
> multivariate t-distribution and cannot find anything about it.
> Does anyone know how to do this.
Sure, for example GNU R has a add-on package 'mvtnorm' for it, see its
manual at
http://cran.r-project.org/doc/packages/mvtnorm.pdf
There is also a companion article in the Vol 1/2 issue of R News:
http://cran.r-project.org/doc/Rnews/
I am sure that Brian et al would welcome a port to plain C which adheres to
the GSL coding standards.
Dirk
--
Prediction is very difficult, especially about the future.
-- Niels Bohr