Hi I'm trying to calculate densities for the multivariate noncentral t distribution. For the avoidance of doubt, and becuase there do seem to be at least two definitions for a noncentral t distribution, This is a noncentral t distribution of the sort described in McNeill Frey and Embrechts (2005) and elsewhere that can be constructed as a normal mean-variance mixture. It is not simply a shifted t distribution. The univariate noncentral t distribution density can be calculated using the function dt in the TDist package. The univariate version seems to be do what I expect, i.e. give a distribution with a different shape. The obvious approach for calculating a multivarate result seems to be to use dmvt in the mvtnorm package. However, the noncentrality parameters here appear actually to be means. In other words, they seem to simply shift the distribution rather than calculating a noncentral mutivariate distribution as described by McNeill et al. So, a few questions: 1. Is my understanding of what dmvt is doing correct? 2. Is this what it is supposed to be doing? 3. Is there any way of deriving the densities that I want in R (short of writing my own function...)? Thanks Paul