Matrix variate slash distribution

Y. Murat Bulut and Olcay Arslan

Journal of Multivariate Analysis, 2015, vol. 137, issue C, 173-178

Abstract: In this paper, we introduce a matrix variate slash distribution as a scale mixture of the matrix variate normal and the uniform distributions. We study some properties of the proposed distribution and give maximum likelihood (ML) estimators of its parameters using EM algorithm. We provide an iteratively reweighting algorithm to compute the ML estimates. Also, we give a small simulation study to show performance of the algorithm.

Keywords: Uniform distribution; Matrix variate normal distribution; EM algorithm; Scale mixture distribution; 60E05; 62H05; 62H12 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.jmva.2015.02.008

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