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The multilinear normal distribution: introduction and some basic properties. (English) Zbl 1354.60015

Summary: In this paper, the multilinear normal distribution is introduced as an extension of the matrix-variate normal distribution. Basic properties such as marginal and conditional distributions, moments, and the characteristic function, are also presented. A trilinear example is used to explain the general contents at a simpler level. The estimation of parameters using a flip-flop algorithm is also briefly discussed.

MSC:

60E05 Probability distributions: general theory
62H12 Estimation in multivariate analysis
62H99 Multivariate analysis
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