A matrix variate skew‐t distribution. Issue 1 (2nd May 2017)

• Record Type: Journal Article
• Authors: Gallaugher, Michael P.B.; McNicholas, Paul D.
• Is Part Of: Stat. Volume 6:Issue 1(2017)
• Page Start: 160
• Page End: 170
• Publication Date: 2017-05-02
• Subjects: matrix variate distribution -- skew‐t distribution; Statistics -- Periodicals; 519.2
• DOI: 10.1002/sta4.143
• Languages: English
• ISSNs: 2049-1573

Abstract

Abstract : Although there is ample work in the literature dealing with skewness in the multivariate setting, there is a relative paucity of work in the matrix variate paradigm. Such work is, for example, useful for modelling three‐way data. A matrix variate skew‐ t distribution is derived based on a mean‐variance matrix normal mixture. An expectation‐conditional maximization algorithm is developed for parameter estimation. Simulated data are used for illustration. Copyright © 2017 John Wiley & Sons, Ltd.