The value at the mode in multivariate $t$ distributions: a curiosity or not?

Abstract

It is a well-known fact that multivariate Student $t$ distributions converge to multivariate Gaussian distributions as the number of degrees of freedom $\nu$ tends to infinity, irrespective of the dimension $k\ge 1$. In particular, the Student's value at the mode (that is, the normalizing constant obtained by evaluating the density at the center) $c_{\nu ,k}=\frac{\Gamma (\frac{\nu +k}{2})}{(\pi \nu {)}^{k/2}\Gamma (\frac{\nu }{2})}$ converges towards the Gaussian value at the mode $c_k=\frac{1}{(2\pi {)}^{k/2}}$. In this note, we prove a curious fact: $c_{\nu ,k}$ tends monotonically to $c_k$ for each $k$, but the monotonicity changes from increasing in dimension $k=1$ to decreasing in dimensions $k\ge 3$ whilst being constant in dimension $k=2$. A brief discussion raises the question whether this \emph{a priori} curious finding is a curiosity, \emph{in fine}.

8 pages, 2 figures, 1 table