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Bimatrix variate gamma-beta distributions

Author

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  • D. K. Nagar
  • M. Arashi
  • S. Nadarajah

Abstract

Two bimatrix distributions with beta and gamma marginals are introduced. Various properties (including product moments of determinants and traces, entropies, marginal distributions) are derived. Parameter estimation by the method of maximum likelihood is discussed. The performance and efficiencies of the maximum likelihood estimators and the associated confidence intervals are assessed by simulation. The efficiencies are compared versus those for the maximum likelihood estimators and the associated confidence intervals based on matrix variate gamma distributions. A discussion of possible applications of the bimatrix distributions is given.

Suggested Citation

  • D. K. Nagar & M. Arashi & S. Nadarajah, 2017. "Bimatrix variate gamma-beta distributions," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(9), pages 4464-4483, May.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:9:p:4464-4483
    DOI: 10.1080/03610926.2015.1085562
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    Cited by:

    1. Daya K. Nagar & Alejandro Roldán-Correa & Saralees Nadarajah, 2023. "Jones-Balakrishnan Property for Matrix Variate Beta Distributions," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1489-1509, August.

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