Project Fact File

Title: The Multivariate Student-t and Matrix T Distributions
Category: statistics
Area: Statistical Inference
No. of units: 1 or 2 or 4
Supervisor: Shahjahan Khan (Staff Profile)
Description:

The customary use of the normal model is under serious question when the population distribution is symmetric but have heavier tails that the normal distribution. Also, the normal model fails to incorporate dependent but uncorrelated responses. In such cases the multivariate Student-t distribution provides an appropriate model for the population. Such a model can be viewed as a mixture of normal and inverted gamma distributions. Using this result we obtained the maximum likelihood estimators of the mean and scale parameters of multivariate Student-t distribution. The model has been used to find appropriate test statistic to test the mean vector. The non-null distribution of the test statistic has been derived. The distribution of the sum of squares and product matrix for the multivariate Student-t model as well as the predictive distribution of future model have been proposed. Similar results for the matrix T model are also obtained. Further generalization of mulativariate elliptical models are also pursued.

Student: NULL