Gibbs Sampler for Matrix Generalized Inverse Gaussian Distributions

DOI10.1080/10618600.2023.2258186MaRDI QIDQ6967828zbMATH OpenFDO

Authors Y. Hamura, Kaoru Irie, Shonosuke Sugasawa

Publication date 26 June 2025

Published in Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10618600.2023.2258186

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Matrix Variate Skew-t Distribution
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• Exponential transformation models
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• scientific article; zbMATH DE number 1350773 (Why is no real title available?)
• Laplace approximation for Bessel functions of matrix argument
• Model choice: a minimum posterior predictive loss approach
• Portfolio optimisation using constrained hierarchical bayes models
• Some matrix-variate distribution theory: Notational considerations and a Bayesian application
• The Matsumoto\,-\,Yor property and the structure of the Wishart distribution

Cited in

(2)

• Properties of the generalized inverse Gaussian with applications to Monte Carlo simulation and distribution function evaluation
• A Gibbs sampler for the LKJ prior on correlation matrices

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