[R] T-Distribution

Roger Koenker roger at ysidro.econ.uiuc.edu
Thu Oct 3 18:52:00 CEST 2002

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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