Finite Mixtures of Matrix Variate t Distributions

Authors : Fatma Zehra Doğru, Yakup Murat Bulut, Olcay Arslan

Pages : 335-341

View : 21 | Download : 8

Publication Date : 2016-06-20

Article Type : Research Paper

Abstract :Finite mixture of multivariate t distributions insert ignore into journalissuearticles values(Peel and McLachlan, 2000); was introduced as an alternative to the finite mixture of multivariate normal distributions to model datasets with heavy tails. In this study, we define the finite mixture of matrix variate t distributions as an extension of finite mixture of multivariate t distributions. Mixture of matrix variate t distributions can provide an alternative robust model to the mixture of matrix variate normal distributions insert ignore into journalissuearticles values(Viroli, 2011); for modeling matrix variate datasets with heavy tails. We give an Expectation Maximization insert ignore into journalissuearticles values(EM); algorithm to find the maximum likelihood insert ignore into journalissuearticles values(ML); estimators for the parameters of interest. We also provide a small simulation study to illustrate the performance of the proposed EM algorithm for finding estimates.
Keywords : Finite mixtures, matrix variate t, matrix variate normal, ML estimator, EM algorithm