TL;DR: In this article, the exact forms of Renyi and Shannon entropies for several multivariate distributions are determined, including multivariate t, multivariate Cauchy and multivariate Pearson type VII.
TL;DR: In this paper, the authors study the multivariate dispersion order, defined as the existence of an expansion function that maps a random vector to another one, for multivariate distributions with the same dependence structure.
Abstract: We study the concept of multivariate dispersion order, defined as the existence of an expansion function that maps a random vector to another one, for multivariate distributions with the same dependence structure. As a particular case, we can order the multivariate t-distribution family in dispersion sense. Finally, we use these results in the problem of detection and characterization of influential observations in regression analysis. This problem can often be used to compare two multivariate t-distributions.