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Matrix Variate Generalized Asymmetric Laplace Distributions
Örebro University, Örebro University School of Business. Unit of Statistics, Örebro University, Örebro, Sweden; Department of Economics and Statistics, Linnaeus University, Växjö, Sweden.ORCID iD: 0000-0002-1395-9427
Department of Mathematics and Statistics, University of Nevada, Reno, USA.
Department of Statistics, Lund University, Lund, Sweden.
2023 (English)Conference paper, Oral presentation with published abstract (Refereed)
Abstract [en]

The generalized asymmetric Laplace (GAL) distribution, also known as the variance/mean-gamma model, is a popular flexible class of distributions that can account for peakedness, skewness, and heavier than normal tails. We consider extensions of the GAL distribution to the matrix variate case, which arise as covariance mixtures of matrix variate normal distributions. Two different mixing mechanisms connected with the nature of the random scaling matrix are considered, leading to what we term matrix variate GAL distributions of Type I and II. While Type I matrix variate GAL distribution has been studied before, there is no comprehensive account of Type II in the literature, except for their rather brief treatment as a special case of matrix variate generalized hyperbolic distributions. With this work we fill this gap, and present an account for basic distributional prop-erties of Type II matrix variate GAL distributions. In particular, we derive their probability density function and the characteristic function, as well as provide stochastic representations related to matrix variate gamma distribution. We also show that this distribution is closed under linear transformations, and study the relevant marginal distributions. In addition, we also briefly account for Type I and discuss the intriguing connections with Type II.

Place, publisher, year, edition, pages
2023.
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:oru:diva-109089OAI: oai:DiVA.org:oru-109089DiVA, id: diva2:1805971
Conference
29th Nordic Conference in Mathematical Statistics (NORDSTAT 2023), Gothenburg, Sweden, June 19-22, 2023
Available from: 2023-10-19 Created: 2023-10-19 Last updated: 2023-10-27Bibliographically approved

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Mazur, Stepan

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