THE MULTIVARIATE T-DISTRIBUTION AND ITS APPLICATIONS IN REGRESSION ANALYSIS

摘要

This paper makes an attempt to justify a multivariate t -model and provides a modest review of most important results of this model developed in recent years. Essential properties and applications of the model in various fields are discussed. Special attention is given to pre-test and shrinkage estimation for regression parameters under certain restrictions. The predictive distributions under the multivariate t -distribution are also discussed. It is observed that the multivariate t -distribition is more convincing to model multivariate data than multivariate normal distribution because of its fat tail.