On matrix-variate Birnbaum–Saunders distributions and their estimation and application

Luis Sánchez, VICTOR ELISEO LEIVA SANCHEZ, Francisco J. Caro-Lopera, Francisco José A. Cysneiros

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14 Scopus citations

Abstract

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 matrixvariate data is carried out to illustrate its potentiality and suitability.

Original languageEnglish
Pages (from-to)790-812
Number of pages23
JournalBrazilian Journal of Probability and Statistics
Volume29
Issue number4
DOIs
StatePublished - 1 Nov 2015

Keywords

  • Computer language
  • Data analysis
  • Elliptically contoured distribution
  • Maximum likelihood estimator
  • Monte Carlo method
  • Shape theory

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