Re: multivariate student t distribution
- From: Jack Tomsky <jtomsky@xxxxxxxxxxxxx>
- Date: Tue, 25 Jul 2006 17:04:42 EDT
Suppose x is a 2x1 vector distributed multivariate
student's t with
mean zero, covariance V, degrees of freedom d. What
is the expected
mean of xx'?
E(xx') = (d/(d-2))*V
for d > 2.
Jack
Suppose also that y = x.*.(x.<0), where .*. is the.
element by element
by element Hadamard product operator, and element of
2x1 vector (x.<0)
takes on the value one if corresponding element of x
is less than zero
and zero other wise. For example if x = ( .3, -.5),
then y = (0, -.5).
What is the expected mean of yy'?
- References:
- multivariate student t distribution
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- multivariate student t distribution
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