Draw From a Multivariate t-Distribution — rmvt • spam

Fast ways to draw from a multivariate t-distribution the scale (covariance) matrix is sparse.

rmvt(n, Sigma, df = 1, delta = rep(0, nrow(Sigma)),
    type = c("shifted", "Kshirsagar"), ..., sigma)
rmvt.spam(n, Sigma, df = 1, delta = rep(0, nrow(Sigma)),
    type = c("shifted", "Kshirsagar"), ..., sigma)

Arguments

n: number of observations.
Sigma: scale matrix (of class spam).
df: degrees of freedom.
delta: vector of noncentrality parameters.
type: type of the noncentral multivariate t distribution.
...: arguments passed to rmvnorm.spam.
sigma: similar to Sigma. Here for portability with mvtnorm::rmvt()

Details

This function is very much like rmvt() from the package mvtnorm. We refer to the help of the afore mentioned.

References

See references in mvtnorm::rmvt().

See also

Author

Reinhard Furrer