Question: a) Suppose Y t (, ), i.e., is p-dimensional multivariate t-distribution with > 2. Derive an expression for the correlation matrix of Y in terms

a) Suppose Y t (, ), i.e., is p-dimensional multivariate t-distribution with > 2. Derive an expression for the correlation matrix of Y in terms of the parameters, , , . (b) Show rigorously that if Y1, Y2 are the first two components of Y, then Y1 and Y2 are not independent. For simplicity you can assume that is the identity for this part, and consider E(Y 2 1 Y 2 2 )

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