On the Conditional Distribution of the Multivariate $t$ Distribution

Understand

As alternatives to the normal distributions, $t$ distributions are widely applied in robust analysis for data with outliers or heavy tails.

• The properties of the multivariate $t$ distribution are well documented in Kotz and Nadarajah's book, which, however, states a wrong conclusion about the conditional distribution of the multivariate $t$ distribution.
• Previous literature has recognized that the conditional distribution of the multivariate $t$ distribution also follows the multivariate $t$ distribution.
• We provide an intuitive proof without directly manipulating the complicated density function of the multivariate $t$ distribution.