The multivariate Behrens-Fisher distribution

@article{Girn2010TheMB,
  title={The multivariate Behrens-Fisher distribution},
  author={Fco. Javier Gir{\'o}n and Carmen del Castillo},
  journal={J. Multivariate Analysis},
  year={2010},
  volume={101},
  pages={2091-2102}
}
Themain purpose of this paper is the study of themultivariate Behrens–Fisher distribution. It is defined as the convolution of two independent multivariate Student t distributions. Some representations of this distribution as themixture of known distributions are shown. An important result presented in the paper is the elliptical condition of this distribution in the special case of proportional scale matrices of the Student t distributions in the defining convolution. For the bivariate Behrens… CONTINUE READING

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