A matrix variate skew‐t distribution Journal Articles

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. Copyright © 2017 John Wiley & Sons, Ltd.

authors

• Gallaugher, Michael PB
• McNicholas, Paul

status

• published 

publication date

• January 2017

has subject area

• 0104 Statistics (FoR)

published in

• Stat  Journal

keywords

• ALGORITHM
• MIXTURES
• Mathematics
• Physical Sciences
• Science & Technology
• Statistics & Probability
• matrix variate distribution
• skew-t distribution

Digital Object Identifier (DOI)

• 10.1002/sta4.143

start page

• 160

end page

• 170

volume

• 6

issue

• 1