EM Estimation of Conditional Matrix Variate $t$ Distributions
Econometrics
2024-10-03 v3
Abstract
Conditional matrix variate student distribution was introduced by Battulga (2024a). In this paper, we propose a new version of the conditional matrix variate student distribution. The paper provides EM algorithms, which estimate parameters of the conditional matrix variate student distributions, including general cases and special cases with Minnesota prior.
Cite
@article{arxiv.2406.10837,
title = {EM Estimation of Conditional Matrix Variate $t$ Distributions},
author = {Battulga Gankhuu},
journal= {arXiv preprint arXiv:2406.10837},
year = {2024}
}
Comments
16 pages. arXiv admin note: substantial text overlap with arXiv:2404.11235