Solved – Linear Combination of multivariate t distribution

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I am looking for a resource where i can find derivation of the linear combination of multivariate t distribution. Does anyone here know any good site or place (s)he can point me to? I am trying to see if the linear combination of multivariate t distribution will give a multivariate t distribution. In other words, what is the distribution of the linear combination of two or more multivariate t distribution?

Does anyone here have any idea on this?

thanks.

Best Answer

I am trying to see if the linear combination of multivariate t distribution will give a multivariate t distribution.

In general, no, this is not the case, even with univariate t's (see here and here for example; note that the difference of two t-random variables is the sum of two t-random variables, but with the second component having its mean that of the original random variable multiplied by -1)

In some very particular cases, yes. Consider:

(i) the limiting case of infinite degrees of freedom, linear combinations of multivariate normals are multivariate normal;

(ii) if the component t-variables are perfectly dependent their sums will be multivariate-t;

(iii) in the univariate case, sums of independent Cauchy random variables will be Cauchy. I haven't checked, but this may well extend more to subsets of the multivariate case than vectors of independent Cauchy (and the perfectly-dependent case mentioned above);

(iv) in the limit of very large numbers of components, where none of the components dominates variance-wise (that is, where the coefficient of each component times the variance of that component doesn't become too large), you may be able to invoke a version of the central limit theorem.


In the case where the weights on the components are equal (effectively converting it to a scaled sum) and you're dealing with standard t (rather than ones with general means and variances), this paper has some information. Extending it to the case of a general mean is straightforward but it doesn't deal with the general case of arbitrary scales, or equivalently arbitrary linear combinations.

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