Hey - I need to model / draw a vector of innovations from a multivariate skewed t-distribution proposed by Sahu et al (2003) (http://onlinelibrary.wiley.com/doi/10.2307/3316064/abstract) - the expression at equation 11. Any suggestions how to do this in Stan?
Best Regards
Rasmus
I cannot answer your question but someone posted a very similar question a few days ago:
Maybe with the algebra solver in Stan. Here’s something that might help outside Stan.
That link is paywalled.
If you can define the log density, then you should be able to use it as a prior or likelihood in Stan. Stan lets you define new densities. You have to be careful with linear algebra stablity (e.g., use A / B rather than A * inv(B), for example) and try not to repeat calculations that can be reused.