TY - JOUR
T1 - Exponential scale mixture of matrix variate cauchy distribution
AU - Sarr, Amadou
AU - Gupta, Arjun K.
PY - 2011/4
Y1 - 2011/4
N2 - In this paper, we introduce a new subclass of matrix variate elliptically contoured distributions that are obtained as a scale mixture of matrix variate Cauchy distribution and exponential distribution. We investigate its properties, such as stochastic representation and characteristic function. Unlike Cauchy distribution, it is shown that the generating variate of the new distribution possesses finite moments. The distributions of the unbiased estimators of μ and Σ are derived. Furthermore, an identity involving a special function with a matrix argument is also obtained.
AB - In this paper, we introduce a new subclass of matrix variate elliptically contoured distributions that are obtained as a scale mixture of matrix variate Cauchy distribution and exponential distribution. We investigate its properties, such as stochastic representation and characteristic function. Unlike Cauchy distribution, it is shown that the generating variate of the new distribution possesses finite moments. The distributions of the unbiased estimators of μ and Σ are derived. Furthermore, an identity involving a special function with a matrix argument is also obtained.
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U2 - 10.1090/S0002-9939-2010-10568-3
DO - 10.1090/S0002-9939-2010-10568-3
M3 - Article
AN - SCOPUS:79951836844
VL - 139
SP - 1483
EP - 1494
JO - Proceedings of the American Mathematical Society
JF - Proceedings of the American Mathematical Society
SN - 0002-9939
IS - 4
ER -