Message-ID: <1302137631945-3432257.post@n4.nabble.com>
Date: 2011-04-07T00:53:51Z
From: statfan
Subject: multivariate t distribution
I have been working the the pmt function in the {mnormt} package and which
requires
"S a positive definite matrix representing the scale matrix of the
distribution, such that S*df/(df-2) is the variance-covariance matrix when
df>2; a vector of length 1 is also allowed (in this case, d=1 is set)"
is there a way that I can specify the scale covariance matrix instead? Or
alternatively, how do I convert the scale covariance matrix into this
positive definite S matrix. Thanks in advanced.
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