Generalised matrix multivariate $T$-distribution
Jose A. Diaz-Garcia, Ramon Gutierrez-Sanchez
TL;DR
This paper introduces a new class of matrix multivariate T-distributions based on Riesz and Kotz-Riesz distributions within real normed division algebras, and explores their properties.
Contribution
It develops the generalised matrix multivariate T-distribution framework using Riesz and Kotz-Riesz distributions, extending existing models.
Findings
Derived properties of the new T-Riesz distributions
Extended the distributions to real normed division algebras
Provided mathematical foundations for future applications
Abstract
Supposing Kotz-Riesz type I and II distributions and their corresponding independent univariate Riesz distributions the associated generalised matrix multivariate T distributions, termed matrix multivariate T-Riesz distributions are obtained. In addition, its various properties are studied. All these results are obtained for real normed division algebras.
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Taxonomy
TopicsMatrix Theory and Algorithms · Mathematical functions and polynomials · Random Matrices and Applications