The matrix-t distribution and its applications in predictive inference

Authors:
B.M. Golam Kibria
Affiliations:
Department of Statistics, Florida International University, University Park, Miami, FL 33199, USA
Venue:
Journal of Multivariate Analysis
Year:
2006

Citing 6
Cited 1

A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model

Journal of Multivariate Analysis
Predictive inference for the elliptical linear model

Journal of Multivariate Analysis
Bayesian statistical inference on elliptical matrix distributions

Journal of Multivariate Analysis
Robust improvement in estimation of a mean matrix in an elliptically contoured distribution

Journal of Multivariate Analysis
Distribution of sum of squares and products matrices for the generalized multilinear matrix-T model

Journal of Multivariate Analysis
Predictivistic characterizations of multivariate student-t models

Journal of Multivariate Analysis

Predictive inference for singular multivariate elliptically contoured distributions

Journal of Multivariate Analysis

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Abstract

The predictive distributions of the future responses and regression matrix under the multivariate elliptically contoured distributions are derived using structural approach. The predictive distributions are obtained as matrix-t which are identical to those obtained under matrix normal and matrix-t distributions. This gives inference robustness with respect to departures from the reference case of independent sampling from the matrix normal or dependent but uncorrelated sampling from matrix-t distributions. Some successful applications of matrix-t distribution in the field of spatial prediction have been addressed.