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Multivariate t Distributions and Their Applications

a
Alexander J McNeil
a
Swiss Federal Institute of Technology, Zürich
Published online: 01 Jan 2012.

To cite this article: Alexander J McNeil (2006) Multivariate t Distributions and Their Applications, Journal of the American
Statistical Association, 101:473, 390-391, DOI: 10.1198/jasa.2006.s67

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 390
types of nonstationarity, global modeling and local stationary approaches in
nonstationary covariance models. Chapter 9 concludes with space–time sepa-
rable covariance functions and various approaches to developing space–time
nonseparable covariance functions. There is also a brief discussion of spatial-
temporal point processes.
The book is intended as a text for a graduate-level course in spatial statistics.
I believe that it would be a suitable text for a variety of reasons. First of all, the
book provides comprehensive coverage of statistical methods for geostatistical
data, lattice data, and point patterns. Not many books on spatial statistics have
this feature. A book similar in scope is Cressie (1993), which is a well-regarded
text on spatial statistics. Further, the book has a nice balance of statistical the-
ory, methodology, and applications, with an emphasis on statistical methods. It
contains many concrete examples that illustrate both theory and methods. In il-
lustrating the methods, real and interesting data examples are drawn from many
disciplines such as agriculture, ecology, geology, epidemiology, and meteorol-
ogy. To illustrate the more abstract concepts and theory, the authors often give
intuitive explanations and easy-to-understand examples. Finally, at the end of
each of the first seven chapters, there are assignment problems for students. The
problems are mostly related to technical derivations or proofs that supplement
readings from the corresponding chapter. I found the exercises fitting and quite
Downloaded by [New Mexico State University] at 23:51 17 January 2015
interesting.
From my experience teaching spatial statistics, I think the book could be
used for courses at different levels. Specifically, it could be used as the main
text for a spatial statistics course at the master’s level. In this case, the audience
would be master’s or beginning Ph.D. students in statistics, as well as nonsta-
tistics graduate students with strong quantitative skills. Possible prerequisites
are introductory probability theory, mathematical statistics, and linear models
theory. For a more advanced Ph.D. level course, the book could be used as an
introductory text for a Ph.D. student who is not familiar with spatial statistics to
get acquainted with the main areas in spatial statistics. Depending on interests,
the course might then delve into more advanced or more topic-specific texts
such as Cressie (1993), Stein (1999), and Møller and Waagepetersen (2004).
On the other hand, for a course aimed at introducing spatial statistics to nonsta-
tistics graduate students who are not as quantitatively skilled, this book could
be used as an advanced text in addition to some other more applied texts such
as Goovaerts (1997), Schabenberger and Pierce (2002), and Waller and Gotway
(2004).
In the Preface, the authors fully acknowledge the limitations in the scope of
the book. For example, their approach is “mostly model-based and frequentist in
nature, with an emphasis on models in the spatial, and not the spectral domain”
(Schabenberger and Gotway 2005). Regarding Bayesian hierarchical models
for spatial data, Section 6.5 of the book gives a very nice overview, but there
is certainly more in the literature. Interested readers can find more complex
models and computational techniques in Banerjee, Carlin, and Gelfand (2003).
Similarly, even though most of the basic elements in spatial point processes are
covered in Chapter 3, there is more to spatial point processes such as statistical
inference and simulation using Markov chain Monte Carlo methods. These and
other more advanced topics in spatial point processes can be found in Diggle
(2001) and Møller and Waagepetersen (2004). In terms of computing, the book
is not intended to give hands-on guidance on how to use particular software
packages. However, readers may find it helpful to consult the supplementary
materials posted at the CRC Press website, which include software code for
examples from the text.
Overall, this is a wonderful book that systematically introduces readers to
spatial statistics. With a writing style that is illustrative, clear, thoughtful, and
cogent, teachers and students alike should find it a delightful text for this diverse
and exciting field.
Jun Z HU
University of Wisconsin–Madison
REFERENCES
Banerjee, S., Carlin, B. P., and Gelfand, A. E. (2003), Hierarchical Modeling
and Analysis for Spatial Data, Boca Raton: Chapman & Hall.
Cressie, N. A. C. (1993), Statistics for Spatial Data (rev. ed.), New York: Wiley.
Diggle, P. (2001), Statistical Analysis of Spatial Point Patterns (2nd ed.), Ox-
ford: Oxford University Press.
Goovaerts, P. (1997), Geostatistics for Natural Resource Evaluation, Oxford:
Oxford University Press.
Møller, J., and Waagepetersen, R. P. (2004), Statistical Inference and Simula-
tion for Spatial Point Processes, Boca Raton: Chapman & Hall.
Book Reviews
Schabenberger, O., and Gotway, C. A. (2005), Statistical Methods for Spatial
Data Analysis, Boca Raton: Chapman & Hall.
Schabenberger, O., and Pierce, F. J. (2002), Contemporary Statistical Models
for the Plant and Soil Sciences, Boca Raton: Chapman & Hall.
Stein, M. L. (1999), Interpolation of Spatial Data: Some Theory of Kriging,
New York: Springer-Verlag.
Waller, L. A., and Gotway, C. A. (2004), Applied Spatial Statistics for Public
Health Data, New York: Wiley.
Multivariate t Distributions and Their Applications.
Samuel KOTZ and Saralees NADARAJAH. New York: Cambridge Univer-
sity Press, 2004. ISBN 0-521-82654-3. xii + 272 pp. $65.00 (H).
Multivariate t Distributions and Their Applications is a book devoted en-
tirely to multivariate extensions of Student’s t distribution. Many different kinds
of multivariate t distribution have been proposed over the years with many dif-
ferent applications in mind. This book draws this diverse literature together and
forms a useful reference for researchers in multivariate analysis or applied sta-
tisticians working with multivariate data.
In style, the book is similar to the series of books on univariate and multi-
variate discrete and continuous distributions that have been written by the first
author together with N. L. Johnson and N. Balakrishnan (see Johnson, Kemp,
and Kotz 2005; Johnson, Kotz, and Balakrishnan 1995, 1997; Kotz, Johnson,
and Balakrishnan 2000). This book provides a detailed compendium of distri-
butional forms and gives a thorough description of their probabilistic proper-
ties. Statistical estimation issues and applications are also discussed, but more
briefly.
The main use of this book will probably be as a reference. The long cata-
logue of distributions and their properties is well organized and clearly written
but is relatively dry material for self-study or teaching. There are almost too
many ways of building multivariate t distributions; more guidance about which
distributions are most useful for particular applications might have been useful.
The authors have aimed for completeness and embarked on the task of bringing
together “all of the relevant information in the literature worthy of publication.”
The authors have come close to achieving this aim, although I believe that one
kind of skewed multivariate t distribution has been omitted (mentioned below).
The main motivation for studying multivariate t distributions given in the
book’s Preface is the increasing use of these distributions in multivariate analy-
sis as an alternative to the multivariate normal; in many real-world modeling
situations, the heavier tails of a multivariate t distribution offer a more realistic
model. The authors also point out that multivariate t distributions are now very
popular prior distributions in Bayesian analysis.
Although there are many multivariate t distributions, one particular form is
most common and natural. It is this form that is discussed in great detail in
Chapter 1. This multivariate t distribution can be represented as a scale mixture
of multivariate Gaussian distributions; more precisely, it is the distribution of a
random vector created by dividing each component of a centered multivariate
normal random vector by a common independent gamma-distributed random
variable. The main properties of this form are listed in Chapter 1, and the char-
acteristic function of the distribution is derived using two different methods in
Chapter 2.
The distribution of sums of independent t random variables or multivariate
t random vectors is discussed in Chapter 3. The class of t distributions is not
closed under convolution; hence, nonstandard distributions are obtained under
addition. The distributions of products and quotients of independent t random
variables are also discussed here.
Chapters 4 and 5 give many alternative constructions of bivariate and general
multivariate t distributions. Some of these generalized t distributions have the
ability to capture asymmetry and skewness in multivariate data and some allow
marginal distributions of different components to have different weights of tail.
The authors have obviously combed the literature very carefully to compile the
long list of distributions. I did not see, however, the kind of skewed multivariate
t distributions that arise as a special boundary case in the class of multivariate
generalized hyperbolic distributions. Given the usefulness of generalized hyper-
bolic distributions in empirical applications (particularly as a class of models
for financial return data), this might have been a worthwhile addition.
Chapters 6–8 are largely devoted to computational issues that arise when
working with multivariate t distributions. In particular, the calculation of prob-
ability integrals for the t density and the computation of percentage points are
discussed.
 Book Reviews
The remainder of the book turns to more statistical and applied issues but
is relatively short in comparison to the foregoing material. Chapter 10 dis-
cusses estimation of the parameters of a multivariate t distribution including the
use of the expectation maximization algorithm or one of its variants to obtain
maximum likelihood estimates. Chapter 11 deals with classical and Bayesian
inference in regression models when the errors are assumed to come from an
uncorrelated multivariate t distribution. The implications of this model are that
the errors are identically distributed but statistically dependent despite their lack
of correlation. The applications in Chapter 12 are really notes for further read-
ing. Projection pursuit, portfolio optimization, cluster analysis, and multiple
decision problems are mentioned.
In summary, this book is a useful reference work for anyone with an interest
in non-Gaussian continuous multivariate distributions. Some form of heavy-
tailed multivariate t distribution is often a natural alternative model to the nor-
mal distribution, and this book successfully summarizes what is known about
such distributions. No doubt there are some omissions, as is to be expected
when the relevant literature is very scattered, but the authors have done a useful
service in bringing together a lot of useful material in one compact volume.
Alexander J. M C N EIL
Swiss Federal Institute of Technology Zürich
Downloaded by [New Mexico State University] at 23:51 17 January 2015
REFERENCES
Johnson, N. L., Kemp, A. W., and Kotz, S. (2005), Univariate Discrete Distri-
butions (3rd ed.), Hoboken, NJ: Wiley.
Johnson, N. L., Kotz, S., and Balakrishnan, N. (1995), Continuous Univariate
Distributions (2nd ed.), New York: Wiley.
(1997), Discrete Multivariate Distributions, New York: Wiley.
Kotz, S., Johnson, N. L., and Balakrishnan, N. (2000), Continuous Multivariate
Distributions (2nd ed.), New York: Wiley.
Probability Matching Priors: Higher Order Asymptotics.
Gauri Sankar DATTA and Rahul M UKERJEE. New York: Springer-Verlag,
2004. ISBN 0-387-20329-X. x + 127 pp. $59.95 (P).
This text provides a catalog of approaches for considering probability
matching priors. The authors have summarized their extensive work on the
subject, together with the work of others, leading to a valuable synthesis on
matching priors. This monograph is the first synthesis on matching priors and
is self-contained. The choice of the prior distribution is crucial and often crit-
icized in Bayesian analysis; it is therefore of great importance to carefully de-
fine sensible priors. This is one of the interests of probability matching priors:
sensible priors in noninformative contexts, that is, in contexts where prior in-
formation is insufficient to construct a sensible subjective prior. As the authors
mention in their introduction, these priors can also be used by non-Bayesian
statisticians to construct good frequentist procedures. In this book, the authors
review a wide variety of probability matching priors with emphasis on the most
common ones (in particular priors matching posterior quantiles), but the high-
est posterior density (HPD) or perturbed ellipsoid are also considered as well as
predictive matching priors. By carefully explaining their properties and study-
ing examples from the literature, the authors help one understand links between
different matching priors. These results were previously dispersed in various
papers.
There are two main aspects of this text. One is the development of the formal
expansions leading to the partial differential equations that characterize proba-
bility matching priors; in particular, the shrinkage argument which is usually at
the core of these calculations is carefully and clearly explained. The other is the
study of the properties, such as invariance, of the solutions to these partial dif-
ferential equations (which are the matching priors). The problem of existence
is not considered here but assumed with references to previous results [essen-
tially in the independent and identically distributed (IID) case] or monographs
(Ghosh 1994, etc. . . ). The interest of such an approach is that, often when they
exist, the asymptotic expansions for the solutions have the same form as in the
IID case (which is the case considered here), even in cases as peculiar as long
memory processes. Therefore this book can be of use in many contexts beyond
the IID case.
There have been some excellent review papers on noninformative priors (see
Kass and Wasserman 1996) or the catalog of noninformative priors by Yang and
Berger (1997), which is model oriented. But matching priors encompass only
a small part of these papers. Hence, this monograph will likely prove valuable
391
in promoting probability matching priors among the practitioners and applied
statisticians.
By examining a wide variety of matching priors, the authors are able to give
a more complete comparison between them, often narrowing the classes of pri-
ors of interest. However, and this is the only real regret I could have, we end up
a bit puzzled about which matching approach to choose, despite some advice
given by the authors in various examples. Some approaches lead to invariant
priors, some do not; which is best? Invariance seems to be a good property.
Does it mean that HPD matching priors should not be considered? This then
leads to the question: should HPD regions be considered in noninformative se-
tups? Perhaps this is just a question of taste, as is the choice between matching
priors or reference priors.
Judith ROUSSEAU
Universite Paris Dauphine
REFERENCES
Ghosh, J. K. (1994), Higher Order Asymptotics, Hayward, CA: Institute of
Mathematical Statistics.
Kass, R. E., and Wasserman, L. (1996), “The Selection of Prior Distribu-
tions by Formal Rules,” Journal of the American Statistical Association, 91,
1343–1370.
Yang, R., and Berger, J. O. (1997), “A Catalog on Noninformative Priors,” ISDS
Discussion Paper 97-42, Institute of Statistics and Decision Sciences, Duke
University.
Constrained Statistical Inference: Inequality, Order, and Shape Re-
strictions.
Mervyn J. S ILVAPULLE and Pranab K. S EN. Hoboken, NJ: Wiley, 2005.
ISBN 0-471-20827-2. xvii + 532 pp. $89.95 (H).
This monograph provides an excellent coverage of the last twenty years of
constrained statistical inference (CSI). The authors survey an extensive amount
of methodology and recent research, which makes their book a natural sequel
to the classic book of Robertson, Wright, and Dykstra (1988).
The book begins with many illustrative examples of problems to which CSI
is applied with appropriate references to later chapters where the methodology
is presented. Hence, the first chapter should be accessible to most readers as no
previous knowledge of the subject is required. The wide range of applicability
of the topic is evident from the very beginning, which is a testament to how
well the book is organized.
In the next three chapters, the authors present the core of exact constrained
statistical inference, namely classic topics such as comparison of population
means (ANOVA), isotonic regression, tests on multivariate normal means, and
tests in general parametric models using asymptotics and likelihood-based pro-
cedures. Both univariate and (more importantly) multivariate situations are in-
vestigated.
The mathematics becomes increasingly more demanding, which is to be ex-
pected as more advanced topics are presented. Proofs of theorems and lemmas
appear at the end of each chapter. Although this placement is somewhat un-
usual, it gives the book the flavor of a research paper published in a journal
rather than a textbook.
As the reader progresses to later chapters, it is clear that this is a book for
the upper-level graduate student or the active researcher in constrained statis-
tical inference. It would certainly make a good textbook for a topics course
on CSI, with the nontrivial mathematics very well presented and challenging
problems included at the end of each chapter.
The next three chapters are devoted to the investigation of the union-
intersection principle of Roy (1953) in parametric, semiparametric, and non-
parametric frameworks. At this point, the reader encounters an advanced array
of topics in CSI, including theory and applications for categorical data and sur-
vival and reliability analysis in an order-restricted context. In Chapter 7, where
nonparametric approaches are studied, one finds many recent results from the
literature, for example, estimation in isotonic nonparametric regression, infer-
ence on shape-constrained hazard functions, and life distributions with the de-
creasing maximum likelihood-ratio property.
In Chapter 8, the Bayesian paradigm is presented in an order-restricted
framework, including a decision theoretic view, constrained shrinkage estima-
tion, and Bayes tests. As this is a relatively new field, the authors present some
of the most recent results in the literature.