[R] multivariate t distribution

From: statfan <irene_vrbik_at_hotmail.com>
Date: Wed, 06 Apr 2011 17:53:51 -0700 (PDT)


I have been working the the pmt function in the {mnormt} package and which requires

"S a positive definite matrix representing the scale matrix of the distribution, such that S*df/(df-2) is the variance-covariance matrix when df>2; a vector of length 1 is also allowed (in this case, d=1 is set)"

is there a way that I can specify the scale covariance matrix instead? Or alternatively, how do I convert the scale covariance matrix into this positive definite S matrix. Thanks in advanced.

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