EM Estimation of Conditional Matrix Variate $t$ Distributions

Battulga Gankhuu

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Abstract: Conditional matrix variate student $t$ distribution was introduced by Battulga (2024a). In this paper, we propose a new version of the conditional matrix variate student $t$ distribution. The paper provides EM algorithms, which estimate parameters of the conditional matrix variate student $t$ distributions, including general cases and special cases with Minnesota prior.

Date: 2024-06, Revised 2024-10
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