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Overlapping coefficient between multivariate t-distributions

overlap_coef.Rd

Compute a Monte Carlo approximation of the overlapping coefficient between two multivariate t-distributions with arbitrary mean, covariance and degrees of freedom.

Usage

overlap_coef(mean1, mean2, cov1, cov2, df1, df2, nb_sample = 10000)

Arguments

mean1

A vector, the mean parameter of a multi t-distribution

mean2

A vector, the mean parameter of the other multi t-distribution

cov1

A matrix, the covariance parameter of a multi t-distribution

cov2

A matrix, the covariance parameter of the other multi t-distribution

df1

A number, the degrees of freedom of a multi t-distribution

df2

A number, the degrees of freedom of the other multi t-distribution

nb_sample

A number of samples drawn to compute the Monte Carlo estimation

Value

A number, the Monte Carlo approximation of the overlapping coefficient between the two multivariate t-distributions.

Examples

TRUE
#> [1] TRUE