Message-ID: <Pine.GSO.4.33.0210031149470.25405-100000@ysidro.econ.uiuc.edu>
Date: 2002-10-03T16:52:00Z
From: Roger Koenker
Subject: T-Distribution
In-Reply-To: <x2r8f73j5n.fsf@biostat.ku.dk>
On 3 Oct 2002, Peter Dalgaard BSA wrote:
> > hm, unless I as the maintainer miss something important: random number
> > generation of the multivariate t is not in mvtnorm (yet?) :-)
>
> Hm, am I missing something or can't you just
>
> rmvt <- function(corr,df) rmvnorm(n,sigma=corr)/(rchisq(n,df)/df)
I think Peter intended to write:
rmvt <- function(corr,df) rmvnorm(n,sigma=corr)/sqrt(rchisq(n,df)/df)
url: http://www.econ.uiuc.edu Roger Koenker
email roger at ysidro.econ.uiuc.edu Department of Economics
vox: 217-333-4558 University of Illinois
fax: 217-244-6678 Champaign, IL 61820
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