On the density of the sum of two independent Student t-random vectors

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In this paper, we find an expression for the density of the sum of two independent d-dimensional

Student t-random vectors X and Y with arbitrary degrees of freedom. As a

byproduct we also obtain an expression for the density of the sum N+X, where N is normal

and X is an independent Student t-vector. In both cases the density is given as an infinite

series $\sum_{n=0}^\infty c_nf_n$

where f_n is a sequence of probability densities on R^d and c_n is a sequence of positive

numbers of sum 1, i.e. the distribution of a non-negative integer-valued random variable

C, which turns out to be infinitely divisible for d=1 and d=2.  When d=1 and the

degrees of freedom of the Student variables are equal, we recover an old result of Ruben.

 

Original languageEnglish
JournalStatistics & Probability Letters
Volume80
Pages (from-to)1043-1055
ISSN0167-7152
DOIs
Publication statusPublished - 2010

    Research areas

  • Faculty of Science - Student t-distribution, convolution, infinite divisibility

ID: 22613413