A Matrix Variate Skew-t Distribution

DOI10.1002/STA4.143MaRDI QIDQ6283876zbMATH OpenFDO

Authors Michael P. B. Gallaugher, Paul D. McNicholas

Publication date 3 March 2017

Mathematics Subject Classification ID

Statistics (62-XX)

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

(3)

• Matrix-variate normal mean-variance Birnbaum-Saunders distributions and related mixture models
• Finite mixture of hidden Markov models for tensor-variate time series data
• Matrix-variate time series modelling with hidden Markov models

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