MatrixTDistribution

MatrixTDistribution[Σrow,Σcol,ν]

represents zero mean matrix distribution with row covariance matrix Σrow, column covariance matrix Σcol, and degrees of freedom parameter ν.

MatrixTDistribution[μ,Σrow,Σcol,ν]

represents matrix distribution with mean matrix μ.

Details

Examples

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Basic Examples  (2)

Sample from matrix distribution:

Mean and variance:

Scope  (6)

Generate a single pseudorandom matrix:

Generate a single pseudorandom matrix with nonzero mean:

Generate a set of pseudorandom matrices:

Sample at extended precision:

Distribution parameters estimation:

Estimate the distribution parameters from sample data:

Compare LogLikelihood for both distributions:

Skewness and kurtosis:

Probability density function:

Plot PDF for a diagonal matrices:

Properties & Relations  (4)

Matrix t distribution is defined up to a positive multiplicative constant:

Equivalent distribution with row and column scale matrices multiplied and divided by a positive constant:

Compute the PDF of the distributions at a random point:

MatrixTDistribution[Σrow,Σcol,ν] is a parameter mixture of MatrixNormalDistribution[Σ,Σcol] with following InverseWishartMatrixDistribution[ν+n-1,Σrow]:

Create a sample following the parameter mixture of MatrixNormalDistribution with InverseWishartMatrixDistribution:

Fit the sample data to MatrixTDistribution:

Compute log-likelihood ratio statistic against the appropriate MatrixTDistribution

Log-likelihood ratio follows ChiSquareDistribution with the parameter equal to the number of degrees of freedom:

Compute the -value of log-likelihood ratio test:

For matrix sampled from matrix distribution, the expression follows Student distribution for any nonzero vectors and with lengths that match with the dimension of :

Use MatrixPropertyDistribution to sample values of the expression :

Check agreement with the expected distribution:

For matrix sampled from matrix distribution, follows multivariate distribution for any nonzero vector with length that matches with the number of columns of :

Use MatrixPropertyDistribution to sample values of :

Verify goodness of fit with the expected distribution:

Possible Issues  (1)

Matrix distribution is defined up to a multiplicative scaling constant. The estimated parameters may not be close to the ones that specify the underlying distribution:

Sample from the matrix distribution:

Estimate the distribution:

Compare the estimated scale parameters with the ones of the underlying distribution:

Kronecker products of the scale matrices are close to each other:

The LogLikelihood of the distributions indicate that the estimate is good:

Wolfram Research (2015), MatrixTDistribution, Wolfram Language function, https://reference.wolfram.com/language/ref/MatrixTDistribution.html (updated 2017).

Text

Wolfram Research (2015), MatrixTDistribution, Wolfram Language function, https://reference.wolfram.com/language/ref/MatrixTDistribution.html (updated 2017).

BibTeX

@misc{reference.wolfram_2021_matrixtdistribution, author="Wolfram Research", title="{MatrixTDistribution}", year="2017", howpublished="\url{https://reference.wolfram.com/language/ref/MatrixTDistribution.html}", note=[Accessed: 17-June-2021 ]}

BibLaTeX

@online{reference.wolfram_2021_matrixtdistribution, organization={Wolfram Research}, title={MatrixTDistribution}, year={2017}, url={https://reference.wolfram.com/language/ref/MatrixTDistribution.html}, note=[Accessed: 17-June-2021 ]}

CMS

Wolfram Language. 2015. "MatrixTDistribution." Wolfram Language & System Documentation Center. Wolfram Research. Last Modified 2017. https://reference.wolfram.com/language/ref/MatrixTDistribution.html.

APA

Wolfram Language. (2015). MatrixTDistribution. Wolfram Language & System Documentation Center. Retrieved from https://reference.wolfram.com/language/ref/MatrixTDistribution.html