Matrix variate slash distribution

JOURNAL OF MULTIVARIATE ANALYSIS

卷:137

Article

Bulut, Y. Murat¹  Arslan, Olcay² 

[1] Eskisehir Osmangazi Univ, Dept Stat, TR-26480 Eskisehir, Turkey

[2] Ankara Univ, Dept Stat, TR-06100 Ankara, Turkey

关键词: Uniform distribution;    Matrix variate normal distribution;    EM algorithm;    Scale mixture distribution;   

DOI  :  10.1016/j.jmva.2015.02.008

来源: Elsevier

【 摘 要 】

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. (C) 2015 Elsevier Inc. All rights reserved.

【 授权许可】

Free