Serving the Quantitative Finance Community

 
User avatar
venom
Topic Author
Posts: 0
Joined: October 2nd, 2002, 10:51 am

bivariate t-distribution

January 23rd, 2003, 5:40 pm

Hi Guys
Does anyone have a numerical implementation of the bivariate t-distribution. I have implemented http://www.sci.wsu.edu/math/faculty/gen ... html#btpl3
but I would like to compare my results with something. Also if anybody has an exact integral that would be nice to look at
venom
 
User avatar
ndr
Posts: 0
Joined: October 8th, 2002, 3:19 pm

bivariate t-distribution

January 24th, 2003, 6:25 pm

R has a package for multivariate t.