Multivariate t distribution

[calbertsen]

Added class to evaluate a multivariate t distribution. It has been tested with the mvtnorm package in R.

[skaug]

Thanks, the multivariate t-distribution is definitely useful, but I wonder if it instead
belongs in "distributions_R.hpp"? E.g. does SEPARABLE(MVT(Sigma,Type(4)),MVT(Sigma,Type(4)) work? I expect that the whole machinery of "density.hpp" requires normality.

If I am right it should instead be called "mvtnorm".

Hans

[calbertsen]

Hi Hans

It is true that the current implementations of SEPARABLE_t and PROJ_t requires normality, while the others do not (AR1_t, SCALE_t and VECSCALE_t).
So you are right that it does not work with SEPARABLE_t and PROJ_t, while it does work with the three others.
It should however be possible to implement versions of SEPARABLE_t and PROJ_t for the multivariate t-distribution.