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- Title
Matrix variate skew laplace distribution.
- Authors
BULUT, Y. Murat; ARSLAN, Olcay
- Abstract
In this study, we introduce a matrix variate skew Laplace distribution as a variance-mean mixture of the matrix variate normal and the scale inverse gamma distribution. The proposed distribution is a generalization of the multivariate skew Laplace distribution studied by [1]. We explore some distributional properties of the proposed distribution such as the probability density function and the characteristic function. Also, we study the estimation of the parameters and give an EM algorithm to obtain the estimates of the parameters. Then, we give a small simulation study to illustrate the performance of the proposed EM algorithm for finding the estimates.
- Subjects
SKEWNESS (Probability theory); LAPLACE distribution; PROBABILITY density function; CHARACTERISTIC functions; EXPECTATION-maximization algorithms; GAMMA distributions
- Publication
Sigma: Journal of Engineering & Natural Sciences / Mühendislik ve Fen Bilimleri Dergisi, 2024, Vol 42, Issue 3, p854
- ISSN
1304-7191
- Publication type
Article
- DOI
10.14744/sigma.2024.00076