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Distributions of the compound and scale mixture of vector and spherical matrix variate elliptical distributions

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  • Díaz-García, José A.
  • Gutiérrez-Jáimez, Ramón

Abstract

Several matrix variate hypergeometric type distributions are derived. The compound distributions of left-spherical matrix variate elliptical distributions and inverted hypergeometric type distributions with matrix arguments are then proposed. The scale mixture of left-spherical matrix variate elliptical distributions and univariate inverted hypergeometric type distributions is also derived as a particular case of the compound distribution approach.

Suggested Citation

  • Díaz-García, José A. & Gutiérrez-Jáimez, Ramón, 2011. "Distributions of the compound and scale mixture of vector and spherical matrix variate elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 143-152, January.
    • Handle: RePEc:eee:jmvana:v:102:y:2011:i:1:p:143-152
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    References listed on IDEAS

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    1. Jammalamadaka, S. Rao & Tiwari, Ram C. & Chib, Siddhartha, 1987. "Bayes prediction in the linear model with spherically symmetric errors," Economics Letters, Elsevier, vol. 24(1), pages 39-44.
    2. Fang, Kai-Tai & Li, Runze, 1999. "Bayesian Statistical Inference on Elliptical Matrix Distributions," Journal of Multivariate Analysis, Elsevier, vol. 70(1), pages 66-85, July.
    3. Arslan, Olcay, 2005. "A new class of multivariate distributions: Scale mixture of Kotz-type distributions," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 18-28, November.
    4. A. Mathai & R. Saxena, 1967. "On a generalized hypergeometric distribution," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 11(1), pages 127-132, December.
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