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From: per <perfreem@gmail.com>
Newsgroups: comp.soft-sys.matlab
Subject: Re: multivariate student t distribution pdf in matlab?
Date: Fri, 27 Feb 2009 05:49:43 -0800 (PST)
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On Feb 24, 10:56=A0am, Peter Perkins
<Peter.PerkinsRemoveT...@mathworks.com> wrote:
> per wrote:
> > i am trying to evaluate the pdf for various points that are
> > distributed according to a multivariate Student t distribution. all
> > the stat texts tell me that the multivariate t distribution pdf takes
> > three parameters: a mean mu and a correlation matrix C, and a degrees-
> > of-freedom parameter (and the point to evaluate the pdf on obviously.)
>
> > the 'mvtpdf' function in matlab takes only two arguments: a degrees-of-
> > freedom parameter and a correlation matrix C. what happened to the mu
> > (mean) parameter? is there a way to evaluate this pdf in matlab
> > according to the parametrization i have above?
>
> Strictly speaking, the multivariate t has two parameters, but it's often =
the case that people add scale and location to that, and a simple transform=
ation does the trick. =A0It's easy to compute the PDF for such a thing by u=
nscaling and unshifting your data, then using MVTPDF and the usual rules fo=
r the PDF of a transformed variable.
>
> Hope this helps.

hi Peter,
can you please say more about the transformation? i'm not sure i am
following. what kind of transformation of the data would make it so i
don't have to give the location (mu) parameter, but just the
covariance matrix/correlation matrix (parameter C)?