A matrix variate skew-t distribution Academic Article uri icon

  •  
  • Overview
  •  
  • Research
  •  
  • Identity
  •  
  • Additional Document Info
  •  
  • View All
  •  

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.

publication date

  • 2017

published in