Modelling a multivariate skewed t-distribution

[jroon]

I cannot answer your question but someone posted a very similar question a few days ago:

Multivariate skew-t distribution

Hi. I am trying to incorporate non-gaussian returns in asset-allocation models. In regards to that, i need to make draws from a multivariate skew t-distribution. It is based on Sahu, Dey & Branco (2003) and used in Jondau & Rockinger (2012), and I have attached an image. I have the priors of the parameters, but the problem is how to draw from the multivariate skew-t distribution shown in equation 4 on the picture. I don’t think that it’s implemented in Stan. Can one of you explain to me how thi…