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From: Peter Perkins <Peter.PerkinsRemoveThis@mathworks.com>
Newsgroups: comp.soft-sys.matlab
Subject: Re: multivariate student t distribution pdf in matlab?
Date: Fri, 27 Feb 2009 09:38:24 -0500
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per wrote:

> 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)?

No transformation will do that; you will always have to specify the degrees of freedom parameter as well.

All you need to do to use MVT as a location/scale family is, separately for each column of your data, subtract the corresponding mean and divide by the corresponding scale factor.  It sounds like you have the Statistics Toolbox.  Take a look in stats/private/addtls.m; that code the handles the univariate t-location-scale distribution for the Distribution Fitting Tool is in there.  Look at tlspdf and tlscdf.  You need to do the same thing coordinate-wise.

Hope this helps.