A matrix variate skew‐t distribution

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 …