I wanted to generate random variables from a multivariate t distribution in R. i am using the mvtnorm
package which has the command rmvt
for generating random variables from the multivariate t-distribution. Now my question is about the syntax of the function and being able to manipulate it to do what I want. The function requires the following
rmvt(n, sigma = diag(2), df = 1, delta = rep(0, nrow(sigma)),
type = c("shifted", "Kshirsagar"), ...)
where sigma is a correlation matrix. Now what I am having trouble with is how to sample from a multivariate t-distribution with mean m and covariance matrix S. Is the following the appropriate syntax?
rmvt(1,S,df=n) + m
or
rmvt(1,R,df=n)*sigma + m
where my covariance matrix can be decomposed as S = sigma*R (i.e., R is my correlation matrix). I am getting different results when I run the two lines of code so that is partially where my confusion stems from.