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A matrix variate skew‐t distribution

A matrix variate skew‐t distribution Although there is ample work in the literature dealing with skewness in the multivariate setting, there is a relative paucity of work in the matrix variate paradigm. Such work is, for example, useful for modelling three‐way data. A matrix variate skew‐t distribution is derived based on a mean‐variance matrix normal mixture. An expectation‐conditional maximization algorithm is developed for parameter estimation. Simulated data are used for illustration. Copyright © 2017 John Wiley & Sons, Ltd. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Stat Wiley

A matrix variate skew‐t distribution

Stat , Volume 6 (1) – Jan 1, 2017

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References (67)

Publisher
Wiley
Copyright
Copyright © 2017 John Wiley & Sons, Ltd.
ISSN
2049-1573
eISSN
2049-1573
DOI
10.1002/sta4.143
Publisher site
See Article on Publisher Site

Abstract

Although there is ample work in the literature dealing with skewness in the multivariate setting, there is a relative paucity of work in the matrix variate paradigm. Such work is, for example, useful for modelling three‐way data. A matrix variate skew‐t distribution is derived based on a mean‐variance matrix normal mixture. An expectation‐conditional maximization algorithm is developed for parameter estimation. Simulated data are used for illustration. Copyright © 2017 John Wiley & Sons, Ltd.

Journal

StatWiley

Published: Jan 1, 2017

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