Robin Ince

I found that some of the MEG data I am working with has long tails which was causing some problems when using non-robust statistics that assume normality. Visual inspection showed a t-distribution might be a good fit:

The figures show the histogram of the data, together with the probability density of the maximum likelihood normal (green) and t-distribution (magenta).

The Matlab function fitdist (in the statistics toolbox) supports a 1-d 'tlocationscale' distribution but I couldn't find anything online for estimating the parametrs of a multidimensional t-distribution. I also wanted something with a more flexible approach to allow fitting mean and scale with a fixed degrees of freedom, fitting several groups with equal d.o.f. etc.

I wrote up some functions to do this using ECME (a variant of the expectation-maximization algorithm) and put them on Github in case it might be useful to anyone else: tdistfit.