A Matrix Variate Skew-t Distribution
From MaRDI portal
Publication:6283876
DOI10.1002/STA4.143arXiv1703.01364MaRDI QIDQ6283876
Paul D. McNicholas, Michael P. B. Gallaugher
Publication date: 3 March 2017
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.
Related Items (3)
Matrix-variate time series modelling with hidden Markov models ⋮ Matrix-variate normal mean-variance Birnbaum-Saunders distributions and related mixture models ⋮ Finite mixture of hidden Markov models for tensor-variate time series data
This page was built for publication: A Matrix Variate Skew-t Distribution
