Matrix variate Macdonald distribution

Daya K. Nagar, Alejandro Roldán-Correa and Arjun K. Gupta

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 5, 1311-1328

Abstract: In this article, we generalize the univariate Macdonald distribution to the matrix case and give its derivation using matrix variate gamma distribution. We study several properties such as cumulative distribution function, marginal distribution of submatrix, triangular factorization, moment generating function, and expected values of several functions of the Macdonald matrix. Some of these results are expressed in terms of special functions of matrix arguments and zonal polynomials.

Date: 2016
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DOI: 10.1080/03610926.2013.861494

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