Matrix variate distributions

Gupta, A. K., & Nagar, D. K. (1999). Matrix variate distributions. CRC Press.

Type

Book

Intellectual base

Review or monograph

Year

1999

Link

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Cited by

2 citations across 2 artifacts.

Domain-specific

• Matrix t-distribution
  • It arises by mixing a matrix normal law over an inverse-Wishart or Wishart-related scale, with location matrix, positive-definite row and column scales and degrees of freedom under convention-dependent parameterization.
• Matrix variate Dirichlet distribution
  • The matrix-variate Dirichlet distribution allocates a positive-definite matrix budget across correlated matrix components.

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