Generalised matrix multivariate T-distribution

Authors José A. Díaz-García, R. Gutiérrez-Sánchez

Publication date 18 February 2014

Probability distributions: general theory (60E05) Factorization of matrices (15A23) Random matrices (algebraic aspects) (15B52) Theory of matrix inversion and generalized inverses (15A09) Matrices over special rings (quaternions, finite fields, etc.) (15B33)

Abstract: Supposing Kotz-Riesz type I and II distributions and their corresponding independent univariate Riesz distributions the associated generalised matrix multivariate T distributions, termed matrix multivariate T-Riesz distributions are obtained. In addition, its various properties are studied. All these results are obtained for real normed division algebras.

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