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Matrix variate slash distribution

Author

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  • Bulut, Y. Murat
  • Arslan, Olcay

Abstract

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.

Suggested Citation

  • Bulut, Y. Murat & Arslan, Olcay, 2015. "Matrix variate slash distribution," Journal of Multivariate Analysis, Elsevier, vol. 137(C), pages 173-178.
    • Handle: RePEc:eee:jmvana:v:137:y:2015:i:c:p:173-178
    DOI: 10.1016/j.jmva.2015.02.008
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    References listed on IDEAS

    as
    1. Ali Genç, 2013. "A skew extension of the slash distribution via beta-normal distribution," Statistical Papers, Springer, vol. 54(2), pages 427-442, May.
    2. Arslan, Olcay, 2009. "Maximum likelihood parameter estimation for the multivariate skew-slash distribution," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2158-2165, October.
    3. Arslan, Olcay, 2008. "An alternative multivariate skew-slash distribution," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2756-2761, November.
    4. Gómez, Héctor W. & Quintana, Fernando A. & Torres, Francisco J., 2007. "A new family of slash-distributions with elliptical contours," Statistics & Probability Letters, Elsevier, vol. 77(7), pages 717-725, April.
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    Cited by:

    1. Shokofeh Zinodiny & Saralees Nadarajah, 2022. "Matrix Variate Two-Sided Power Distribution," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 179-194, March.
    2. M. Arendarczyk & T. J. Kozubowski & A. K. Panorska, 2023. "Slash distributions, generalized convolutions, and extremes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(4), pages 593-617, August.
    3. Kozubowski, Tomasz J. & Mazur, Stepan & Podgorski, Krysztof, 2022. "Matrix Variate Generalized Laplace Distributions," Working Papers 2022:7, Örebro University, School of Business.

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