A Matrix Variate Skew-t Distribution
Methodology
2017-10-09 v3 Statistics Theory
Statistics Theory
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.
Cite
@article{arxiv.1703.01364,
title = {A Matrix Variate Skew-t Distribution},
author = {Michael P. B. Gallaugher and Paul D. McNicholas},
journal= {arXiv preprint arXiv:1703.01364},
year = {2017}
}