A Matrix Variate Skew Distribution
Keywords:Skew Normal Distribution, Normal Distribution, Multivariate Distribution, Matrix Variate Skew Normal Distribution
Typical multivariate analysis assumes independence among the individual observations as well as elliptical symmetry of distributions. In many situations these assumptions may be too restrictive. This paper studies a class of flexible matrix variate distribution models that can represent both skewed and symmetric distributions which can also account for dependence among individual observations. We derive the moment generating function and study linear and quadratic forms of interest that help understand the properties of these models.
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