R help - Feb 2005 - Density of the Multivariate T Distribution

Hi,

I am looking for an efficient way to compute the
values of the density function of a multivariate T
distribution - something like "dmvnorm", but for T
distr. Does this exist somewhere?

Many thanks,

Jan Bulla

Goettingen University

Jan Bulla wrote:
> I am looking for an efficient way to compute the
> values of the density function of a multivariate T
> distribution - something like "dmvnorm", but for T
> distr. Does this exist somewhere?
Searching CRAN I found the ``sn'' package which includes the function
dmst() which calculates the density for ***skewed*** multivariate t
distributions.  I conjecture that setting the skewness parameters
``alpha'' equal to 0 would give you the ``ordinary''
multivariate t
distribution.  I haven't tried this out.

It puzzles me why the mvtnorm package includes functions pmvt(),
qmvt(), and rmvt() but ***not*** dmvt().  Why on earth not?

				cheers,

					Rolf Turner
					rolf at math.unb.ca