The multilinear normal distribution: Introduction and some basic properties

Authors:
Martin Ohlson;M. Rauf Ahmad;Dietrich Von Rosen
Affiliations:
Department of Mathematics, Linköping University, Sweden;Department of Mathematics, Linköping University, Sweden;Department of Mathematics, Linköping University, Sweden and Department of Energy and Technology, Swedish University of Agricultural Sciences, Sweden
Venue:
Journal of Multivariate Analysis
Year:
2013

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Abstract

In this paper, the multilinear normal distribution is introduced as an extension of the matrix-variate normal distribution. Basic properties such as marginal and conditional distributions, moments, and the characteristic function, are also presented. A trilinear example is used to explain the general contents at a simpler level. The estimation of parameters using a flip-flop algorithm is also briefly discussed.