Matrix variate slash distribution

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.

MoreLess

Year of publication:	2015
Authors:	Bulut, Y. Murat ; Arslan, Olcay
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 137.2015, C, p. 173-178
Publisher:	Elsevier
Subject:	Uniform distribution \| Matrix variate normal distribution \| EM algorithm \| Scale mixture distribution

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011263458