Matrix variate Birnbaum-Saunders distribution under elliptical models

DOI10.1016/J.JSPI.2020.04.012MaRDI QIDQ2189126zbMATH OpenOpenAlexFDO

Authors José A. Díaz-García, Francisco J. Caro-Lopera

Publication date 15 June 2020

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.06173

zbMATH Keywords

Birnbaum-Saunders distributionelliptical distributionsKotz distributionmatrix multivariate distributionsrandom matrices

Mathematics Subject Classification ID

Theory of matrix inversion and generalized inverses (15A09) Factorization of matrices (15A23) Random matrices (algebraic aspects) (15B52) Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Reliability and life testing (62N05)

Abstract: This paper derives the elliptical matrix variate version of the well known univariate Birnbaum and Saunders distribution. A generalisation based on a matrix transformation is proposed, instead of the independent element by element representation of the Gaussian univariate version of 1969. New results on Jacobians were needed to derived the matrix variate distribution. A number of special cases are studied and some basic properties are found. Finally, an example based on real data of two populations is provided. The maximum likelihood estimates are found for a number of matrix variate generalised Birnbaum-Saunders distributions based on Kotz models. A comparison with the Gaussian kernel is also given by using a modified BIC criterion.

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Cited in

(6)

• Multimatricvariate distribution under elliptical models
• Diagonalization matrix and its application in distribution theory
• Estimation under the matrix variate elliptical model
• Singular matrix variate Birnbaum-Saunders distribution under elliptical models
• Connection between the Hadamard and matrix products with an application to matrix-variate Birnbaum-Saunders distributions
• On matrix-variate Birnbaum-Saunders distributions and their estimation and application

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