Matrix variate Laplace distribution: Properties and parameter estimation

Year 2018, Volume: 11 Issue: 1, 32 - 41, 29.06.2018

Y. Murat Bulut

Abstract

In this study, we
proposed matrix variate Laplace distribution as a scale mixture of matrix
variate normal distribution and exponential distribution. Also, we examine some
distributional properties and give maximum likelihood estimators of its
parameters based on the EM algorithm.

Keywords

EM algorithm, matrix variate distribution

Matris değişkenli Laplace dağılımı: Özellikleri ve parametre tahmini

Abstract

Bu
çalışmada matris değişkenli normal dağılım ve üstel dağılımın ölçek karması
olarak matris değişkenli Laplace dağılımı önerilmiştir. Ayrıca önerilen
dağılımın özellikleri incelenmiştir ve parametrelerinin tahmini için EM
(Expectation-Maximization) algoritmasına dayalı en çok olabilirlik tahmin edicileri
verilmiştir. 

Keywords

EM algoritması, matris değişkenli dağılım, parametre tahmini

References

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