The value at the mode in multivariate tt distributions: a curiosity or not?

preprint2014arXivOpen access

Abstract

It is a well-known fact that multivariate Student tt distributions converge to multivariate Gaussian distributions as the number of degrees of freedom νν tends to infinity, irrespective of the dimension k≥1k\geq1. In particular, the Student's value at the mode (that is, the normalizing constant obtained by evaluating the density at the center) cν,k=Γ(ν+k2)(πν)k/2Γ(ν2)c_{ν,k}=\frac{Γ(\frac{ν+k}{2})}{(πν)^{k/2} Γ( \fracν{2})} converges towards the Gaussian value at the mode ck=1(2π)k/2c_k=\frac{1}{(2π)^{k/2}}. In this note, we prove a curious fact: cν,kc_{ν,k} tends monotonically to ckc_k for each kk, but the monotonicity changes from increasing in dimension k=1k=1 to decreasing in dimensions k≥3k\geq3 whilst being constant in dimension k=2k=2. A brief discussion raises the question whether this \emph{a priori} curious finding is a curiosity, \emph{in fine}.

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