brede_pdf_t

 brede_pdf_t          - PDF of multivariate t-distribution

       function p = brede_pdf_t(t, dof, my, Sigma); 

       Input:  t      t-values
               dof    Degrees of freedom
               my     Mean value (Optional, default=0) 
               Sigma  Covariance (Optional, default=1)

       Output: p      Probability density value

       This function computes the probability density function for
       the multivariate Student's t-distribution.

       For a univariate input the standard t-value (t') can be
       computed as 

                t' = (t - my) / sqrt(Sigma)

       The Gaussian approximation is used for dof>300.

       Ref: Mardia, 1979, p57, exercise 2.6.5

       Example:
         x = (-5:0.1:5)';
         p1 = brede_pdf_t(x, 5, 0, 1);
         p2 = brede_pdf_t(x, 100);
         p3 = brede_pdf_gauss(x);
         p4 = brede_pdf_cauchy(x);
         figure, semilogy(x,p1,'-',x,p2,'--',x,p3,'x',x,p4,'o')
         legend('5 DOF', 'Many DOF', 'Gaussian', 'Cauchy')

       See also BREDE, BREDE_PDF_CAUCHY, BREDE_PDF_GAUSS,
                BREDE_CDF_T.

 $Id: brede_pdf_t.m,v 1.3 2004/10/12 23:14:55 fnielsen Exp $