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Re: Multivariate student t: normalization in mvtrnd


From: Arno Onken
Subject: Re: Multivariate student t: normalization in mvtrnd
Date: Wed, 28 Nov 2012 11:06:05 +0100
User-agent: Mozilla/5.0 (X11; Linux x86_64; rv:10.0.10) Gecko/20121027 Icedove/10.0.10

Hi Iñigo,

On 11/28/12 01:12, Iñigo Urteaga wrote:
> Thanks a lot for clarifying that Octave's mvtrnd normalizes the
> covariance matrix into the correlation matrix just for compatibility
> purposes with Matlab. I understand that this is design criteria and I
> don't expect it to change. Nevertheless, what is the reasoning behind
> not using the covariance but the correlation matrix? Is there any
> advantage?

Well, it's not hard to rescale the result of mvtrnd to get an arbitrary
covariance matrix. You might also want to add a constant to get a
non-zero mean. In contrast to mvnrnd, mvtrnd doesn't have arguments for
that. mvtrnd just gives you the equivalent of the standard normal. So
the advantage is conceptual. I think it is good to have compatibility at
this point.

> Finally, would it make any sense to expand mvtrnd's help a little to
> clarify this point for other users? I spent some time trying to figure
> this out, so I consider it might be helpful for others. If you agree,
> I am willing to help.

Yes, that's definitely a good idea. You are welcome to help.

Arno


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