The multilinear normal distribution: Introduction and some basic properties

Martin Ohlson, M. Rauf Ahmad and Dietrich von Rosen

Journal of Multivariate Analysis, 2013, vol. 113, issue C, 37-47

Abstract: In this paper, the multilinear normal distribution is introduced as an extension of the matrix-variate normal distribution. Basic properties such as marginal and conditional distributions, moments, and the characteristic function, are also presented. A trilinear example is used to explain the general contents at a simpler level. The estimation of parameters using a flip-flop algorithm is also briefly discussed.

Keywords: Flip-flop algorithm; Matrix normal distribution; Marginal and conditional distributions; Maximum likelihood estimators; Moments; Tensor product (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (10)

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DOI: 10.1016/j.jmva.2011.05.015

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