Three skewed matrix variate distributions

Michael P.B. Gallaugher and Paul D. McNicholas

Statistics & Probability Letters, 2019, vol. 145, issue C, 103-109

Abstract: Three-way data can be conveniently modelled by using matrix variate distributions. Although there has been a lot of work for the matrix variate normal distribution, there is little work in the area of matrix skew distributions. Three matrix variate distributions that incorporate skewness, as well as other flexible properties such as concentration, are discussed. Equivalences to multivariate analogues are presented, and moment generating functions are derived. Maximum likelihood parameter estimation is discussed, and simulated data is used for illustration.

Keywords: Matrix variate; Skewed distributions (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spl.2018.08.012

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