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A Matrix Variate Skew-t Distribution
Published 4 Mar 2017 in stat.ME, math.ST, and stat.TH | (1703.01364v3)
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.
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