pythonstatisticsscipyprobability-density

multivariate student t-distribution with python


To generate samples with multivariate t-distribution I use this function:

def multivariatet(mu,Sigma,N,M):
    '''
    Output:
    Produce M samples of d-dimensional multivariate t distribution
    Input:
    mu = mean (d dimensional numpy array or scalar)
    Sigma = scale matrix (dxd numpy array)
    N = degrees of freedom
    M = # of samples to produce
    '''
    d = len(Sigma)
    g = np.tile(np.random.gamma(N/2.,2./N,M),(d,1)).T
    Z = np.random.multivariate_normal(np.zeros(d),Sigma,M)
    return mu + Z/np.sqrt(g)

but what I am looking for now is the multivariate student t-distribution it self so I can calculate the density of elements where dimension > 1.

That will be something like stats.t.pdf(x, df, loc, scale) of the package scipy but in multi-dimensional space.


Solution

  • I coded the density by myself:

    import numpy as np
    from math import *
    
    def multivariate_t_distribution(x,mu,Sigma,df,d):
        '''
        Multivariate t-student density:
        output:
            the density of the given element
        input:
            x = parameter (d dimensional numpy array or scalar)
            mu = mean (d dimensional numpy array or scalar)
            Sigma = scale matrix (dxd numpy array)
            df = degrees of freedom
            d: dimension
        '''
        Num = gamma(1. * (d+df)/2)
        Denom = ( gamma(1.*df/2) * pow(df*pi,1.*d/2) * pow(np.linalg.det(Sigma),1./2) * pow(1 + (1./df)*np.dot(np.dot((x - mu),np.linalg.inv(Sigma)), (x - mu)),1.* (d+df)/2))
        d = 1. * Num / Denom 
        return d