# Matrix t-distribution

In statistics, the matrix t-distribution (or matrix variate t-distribution) is the generalization of the multivariate t-distribution from vectors to matrices.[1] The matrix t-distribution shares the same relationship with the multivariate t-distribution that the matrix normal distribution shares with the multivariate normal distribution.[clarification needed] For example, the matrix t-distribution is the compound distribution that results from sampling from a matrix normal distribution having sampled the covariance matrix of the matrix normal from an inverse Wishart distribution.[citation needed]

In a Bayesian analysis of a multivariate linear regression model based on the matrix normal distribution, the matrix t-distribution is the posterior predictive distribution.

## Definition

Notation ${\displaystyle {\rm {T}}_{n,p}(\nu ,\mathbf {M} ,{\boldsymbol {\Sigma }},{\boldsymbol {\Omega }})}$ ${\displaystyle \mathbf {M} }$ location (real ${\displaystyle n\times p}$ matrix) ${\displaystyle {\boldsymbol {\Omega }}}$ scale (positive-definite real ${\displaystyle p\times p}$ matrix) ${\displaystyle {\boldsymbol {\Sigma }}}$ scale (positive-definite real ${\displaystyle n\times n}$ matrix) ${\displaystyle \nu }$ degrees of freedom ${\displaystyle \mathbf {X} \in \mathbb {R} ^{n\times p}}$ ${\displaystyle {\frac {\Gamma _{p}\left({\frac {\nu +n+p-1}{2}}\right)}{(\pi )^{\frac {np}{2}}\Gamma _{p}\left({\frac {\nu +p-1}{2}}\right)}}|{\boldsymbol {\Omega }}|^{-{\frac {n}{2}}}|{\boldsymbol {\Sigma }}|^{-{\frac {p}{2}}}}$ ${\displaystyle \times \left|\mathbf {I} _{n}+{\boldsymbol {\Sigma }}^{-1}(\mathbf {X} -\mathbf {M} ){\boldsymbol {\Omega }}^{-1}(\mathbf {X} -\mathbf {M} )^{\rm {T}}\right|^{-{\frac {\nu +n+p-1}{2}}}}$ No analytic expression ${\displaystyle \mathbf {M} }$ if ${\displaystyle \nu +p-n>1}$, else undefined ${\displaystyle \mathbf {M} }$ ${\displaystyle {\frac {{\boldsymbol {\Sigma }}\otimes {\boldsymbol {\Omega }}}{\nu +p-n-2}}}$ if ${\displaystyle \nu +p-n>2}$, else undefined see below

For a matrix t-distribution, the probability density function at the point ${\displaystyle \mathbf {X} }$ of an ${\displaystyle n\times p}$ space is

${\displaystyle f(\mathbf {X} ;\nu ,\mathbf {M} ,{\boldsymbol {\Sigma }},{\boldsymbol {\Omega }})=K\times \left|\mathbf {I} _{n}+{\boldsymbol {\Sigma }}^{-1}(\mathbf {X} -\mathbf {M} ){\boldsymbol {\Omega }}^{-1}(\mathbf {X} -\mathbf {M} )^{\rm {T}}\right|^{-{\frac {\nu +n+p-1}{2}}},}$

where the constant of integration K is given by

${\displaystyle K={\frac {\Gamma _{p}\left({\frac {\nu +n+p-1}{2}}\right)}{(\nu \pi )^{\frac {np}{2}}\Gamma _{p}\left({\frac {\nu +p-1}{2}}\right)}}|{\boldsymbol {\Omega }}|^{-{\frac {n}{2}}}|{\boldsymbol {\Sigma }}|^{-{\frac {p}{2}}}.}$

Here ${\displaystyle \Gamma _{p}}$ is the multivariate gamma function.

The characteristic function and various other properties can be derived from the generalized matrix t-distribution (see below).

## Generalized matrix t-distribution

Notation ${\displaystyle {\rm {T}}_{n,p}(\alpha ,\beta ,\mathbf {M} ,{\boldsymbol {\Sigma }},{\boldsymbol {\Omega }})}$ ${\displaystyle \mathbf {M} }$ location (real ${\displaystyle n\times p}$ matrix) ${\displaystyle {\boldsymbol {\Omega }}}$ scale (positive-definite real ${\displaystyle p\times p}$ matrix) ${\displaystyle {\boldsymbol {\Sigma }}}$ scale (positive-definite real ${\displaystyle n\times n}$ matrix) ${\displaystyle \alpha >(p-1)/2}$ shape parameter ${\displaystyle \beta >0}$ scale parameter ${\displaystyle \mathbf {X} \in \mathbb {R} ^{n\times p}}$ ${\displaystyle {\frac {\Gamma _{p}(\alpha +n/2)}{(2\pi /\beta )^{\frac {np}{2}}\Gamma _{p}(\alpha )}}|{\boldsymbol {\Omega }}|^{-{\frac {n}{2}}}|{\boldsymbol {\Sigma }}|^{-{\frac {p}{2}}}}$ ${\displaystyle \times \left|\mathbf {I} _{n}+{\frac {\beta }{2}}{\boldsymbol {\Sigma }}^{-1}(\mathbf {X} -\mathbf {M} ){\boldsymbol {\Omega }}^{-1}(\mathbf {X} -\mathbf {M} )^{\rm {T}}\right|^{-(\alpha +n/2)}}$ ${\displaystyle \Gamma _{p}}$ is the multivariate gamma function. No analytic expression ${\displaystyle \mathbf {M} }$ ${\displaystyle {\frac {2({\boldsymbol {\Sigma }}\otimes {\boldsymbol {\Omega }})}{\beta (2\alpha -n-1)}}}$ see below

The generalized matrix t-distribution is a generalization of the matrix t-distribution with two parameters α and β in place of ν.[2]

This reduces to the standard matrix t-distribution with ${\displaystyle \beta =2,\alpha ={\frac {\nu +p-1}{2}}.}$

The generalized matrix t-distribution is the compound distribution that results from an infinite mixture of a matrix normal distribution with an inverse multivariate gamma distribution placed over either of its covariance matrices.

### Properties

If ${\displaystyle \mathbf {X} \sim {\rm {T}}_{n,p}(\alpha ,\beta ,\mathbf {M} ,{\boldsymbol {\Sigma }},{\boldsymbol {\Omega }})}$ then[citation needed]

${\displaystyle \mathbf {X} ^{\rm {T}}\sim {\rm {T}}_{p,n}(\alpha ,\beta ,\mathbf {M} ^{\rm {T}},{\boldsymbol {\Omega }},{\boldsymbol {\Sigma }}).}$

This makes use of the following:[citation needed]

${\displaystyle \det \left(\mathbf {I} _{n}+{\frac {\beta }{2}}{\boldsymbol {\Sigma }}^{-1}(\mathbf {X} -\mathbf {M} ){\boldsymbol {\Omega }}^{-1}(\mathbf {X} -\mathbf {M} )^{\rm {T}}\right)=}$
${\displaystyle \det \left(\mathbf {I} _{p}+{\frac {\beta }{2}}{\boldsymbol {\Omega }}^{-1}(\mathbf {X} ^{\rm {T}}-\mathbf {M} ^{\rm {T}}){\boldsymbol {\Sigma }}^{-1}(\mathbf {X} ^{\rm {T}}-\mathbf {M} ^{\rm {T}})^{\rm {T}}\right).}$

If ${\displaystyle \mathbf {X} \sim {\rm {T}}_{n,p}(\alpha ,\beta ,\mathbf {M} ,{\boldsymbol {\Sigma }},{\boldsymbol {\Omega }})}$ and ${\displaystyle \mathbf {A} (n\times n)}$ and ${\displaystyle \mathbf {B} (p\times p)}$ are nonsingular matrices then[citation needed]

${\displaystyle \mathbf {AXB} \sim {\rm {T}}_{n,p}(\alpha ,\beta ,\mathbf {AMB} ,\mathbf {A} {\boldsymbol {\Sigma }}\mathbf {A} ^{\rm {T}},\mathbf {B} ^{\rm {T}}{\boldsymbol {\Omega }}\mathbf {B} ).}$
${\displaystyle \phi _{T}(\mathbf {Z} )={\frac {\exp({\rm {tr}}(i\mathbf {Z} '\mathbf {M} ))|{\boldsymbol {\Omega }}|^{\alpha }}{\Gamma _{p}(\alpha )(2\beta )^{\alpha p}}}|\mathbf {Z} '{\boldsymbol {\Sigma }}\mathbf {Z} |^{\alpha }B_{\alpha }\left({\frac {1}{2\beta }}\mathbf {Z} '{\boldsymbol {\Sigma }}\mathbf {Z} {\boldsymbol {\Omega }}\right),}$

where

${\displaystyle B_{\delta }(\mathbf {WZ} )=|\mathbf {W} |^{-\delta }\int _{\mathbf {S} >0}\exp \left({\rm {tr}}(-\mathbf {SW} -\mathbf {S^{-1}Z} )\right)|\mathbf {S} |^{-\delta -{\frac {1}{2}}(p+1)}d\mathbf {S} ,}$

and where ${\displaystyle B_{\delta }}$ is the type-two Bessel function of Herz of a matrix argument.