A Matrix Variate Skew-t Distribution
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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.
Cited in
(7)- 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
- Gibbs Sampler for Matrix Generalized Inverse Gaussian Distributions
- Mixtures of regressions using matrix-variate heavy-tailed distributions
- Finite mixtures of matrix-variate shifted generalized asymmetric Laplace distribution for three-way data
- A matrix-variate skew contaminated normal distribution with applications to model-based clustering
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