Brazilian Journal of Probability and Statistics · 2015 · 21 citations · 40 references
Natural SciencesMathematicsStatistical ModelingStatisticsStochastic ModelingMultivariate AnalysisProbability DistributionsSimulation MethodsMultivariate Normal DistributionRandom MatricesRandom Matrix DistributionsRandom Matrix Theory
Diverse phenomena from the real-world can be modeled using random matrices, allowing matrix-variate distributions to be considered. The normal distribution is often employed in this modeling, but usually the mentioned random matrices do not follow such a distribution. An asymmetric non-normal model that is receiving considerable attention due to its good properties is the Birnbaum–Saunders (BS) distribution. We propose a statistical methodology based on matrix-variate BS distributions. This methodology is implemented in the statistical software R. A simulation study is conducted to evaluate its performance. Finally, an application with real-world matrix-variate data is carried out to illustrate its potentiality and suitability.
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