Construct a multivariate Student-t distribution — mvdist_student

Mirrors the C# MultivariateStudentT class of the Numerics library.

Usage

mvdist_student_t(df, location, scale = NULL)

Arguments

df: degrees of freedom.
location: numeric vector of location parameters, length d.
scale: optional d x d scale matrix; NULL (the default) uses the identity.

Value

a corehydro_mvdist of family "MultivariateStudentT".

Details

MultivariateStudentT has no seed argument here (unlike mvdist_normal()). Its CDF at dimension three and above draws 200 inner MultivariateNormal::cdf() evaluations from a clock-seeded stream that this class never lets the caller set, faithfully mirroring the upstream C# _MVNUNI = new MersenneTwister() default; that CDF is therefore not reproducible run to run, and R and Python cannot agree on a value there. mvdist_random() draws from a separate, genuinely seedable stream and is unaffected.

Examples

mvdist_dimension(mvdist_student_t(5, c(0, 0)))
#> [1] 2