Multivariate continuous distributions | Random matrices

Matrix t-distribution

In statistics, the matrix t-distribution (or matrix variate t-distribution) is the generalization of the multivariate t-distribution from vectors to matrices. The matrix t-distribution shares the same relationship with the multivariate t-distribution that the matrix normal distribution shares with the multivariate normal distribution. For example, the matrix t-distribution is the compound distribution that results from sampling from a matrix normal distribution having sampled the covariance matrix of the matrix normal from an inverse Wishart distribution. In a Bayesian analysis of a multivariate linear regression model based on the matrix normal distribution, the matrix t-distribution is the posterior predictive distribution. (Wikipedia).

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Related pages

Scale parameter | Multivariate gamma function | Degrees of freedom (statistics) | Bayesian multivariate linear regression | Multivariate normal distribution | Posterior predictive distribution | Multivariate t-distribution | Shape parameter | Bessel function | Determinant | Matrix normal distribution | Real number | Statistics | Matrix (mathematics) | Probability density function | Location parameter | Characteristic function (probability theory)