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: [image] Multivariate skew-t distribution Modeling Hi. I am trying to incorporate non-gaussian returns in asset-allocation models. In regards to that, i need to make draws from a multiv…

Maybe with the algebra solver in Stan. Here’s something that might help outside Stan. [Soma] Generating random sample from inverse Cdf without closed form r, distributions, random-generation asked by Soma on 06:27AM - 15 Oct 17 UTC …

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 calcul…

Modelling a multivariate skewed t-distribution

Modeling

jroon March 17, 2018, 2:49pm 2

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

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Modelling a multivariate skewed t-distribution

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