studenttpdf.m

来自「经济学专业代码」· M 代码 · 共 14 行

function f = TPDF(x,nu,Mu,Sigma)
% this function computes the pdf of the N-variate t distribution
% see "Risk and Asset Allocation"-Springer (2005), by A. Meucci
% formula (2.188)


N=length(x);
z2=(x-Mu)'*inv(Sigma)*(x-Mu);
K=(nu*pi)^(-N/2) * gamma((nu+N)/2)/gamma(nu/2) * (  (det(Sigma))^(-.5) );

f = K*(1+z2/nu)^(-(nu+N)/2);