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Matrix variate Pareto distribution of the second kind. (English) Zbl 1267.62069

Summary: We generalize the univariate Pareto distribution of the second kind to the matrix case and give its derivation using a matrix variate gamma distribution. We study several properties such as the cumulative distribution function, marginal distributions of the submatrix, triangular factorization, moment generating function, and expected values of the Pareto matrix. Some of these results are expressed in terms of special functions of matrix arguments, zonal, and invariant polynomials.

MSC:

62H10 Multivariate distribution of statistics
33E99 Other special functions
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