Moments of the Bivariate T-Distribution
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King Fahd University of Petroleum and Minerals
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Abstract
The probability density function of the bivariate t-distribution can be represented by a scale mixture representation of the bivariate normal distribution with an 'inverted' chisquare distribution. The product moments of the bivariate t-distribution are derived by exploiting the scale mixture. Some standardized moments of the bivariate t-distribution are also derived.