I generalized a multivariate data set from t distribution using sas command RANDMVT(#SAMPLES,DF=1,MEAN,COV). I believe t(1) is cauchy..How can I check my data set has a Cauchy distribution. Thanks in advance.
(For other readers, the RANDMVT function available in SAS/IML. )
Yes, the t distribution with 1 DOF is Cauchy. The algorithm used for RANDMVT is from
S. Kotz and S. Nadarajah (2004), Multivariate t Distributions and their Applications, New York: Cambridge University Press, 1-12.
See that reference to understand why the algorithm generates a random sample from a t distribution.
(For other readers, the RANDMVT function available in SAS/IML. )
Yes, the t distribution with 1 DOF is Cauchy. The algorithm used for RANDMVT is from
S. Kotz and S. Nadarajah (2004), Multivariate t Distributions and their Applications, New York: Cambridge University Press, 1-12.
See that reference to understand why the algorithm generates a random sample from a t distribution.
Thank you very much Rick !....
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