Compound and scale mixture of vector and spherical matrix variate elliptical distributions

TL;DR

This paper introduces new compound and scale mixture distributions based on matrix variate elliptical and hypergeometric distributions, expanding the theoretical framework for matrix variate distributions.

Contribution

It derives several new matrix variate hypergeometric type distributions and proposes compound and scale mixture models involving elliptical and hypergeometric distributions with matrix arguments.

Findings

Derived new matrix variate hypergeometric distributions.

Proposed compound distributions for elliptical and hypergeometric types.

Established scale mixture models as special cases.

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.