Bayesian multivariate normal analysis with a wishart prior

DOI10.1080/03610929508831629zbMath0875.62123OpenAlexW1996228782MaRDI QIDQ4337079

J. J. J. Roux, Andriëtte Bekker

Publication date: 19 May 1997

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929508831629

zbMATH Keywords

multivariate normal distributionBayesian posteriorWishart priorBessel function of the second kind with matrix argumentmultivariate quadratic loss function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15)

Related Items (9)

On Inverted Matrix Variate Gamma Distribution ⋮ Subjective Bayesian Analysis of the Elliptical Model ⋮ Matrix variate generalized asymmetric Laplace distributions ⋮ Wishart distributions: advances in theory with Bayesian application ⋮ The beta-Wishart ensemble ⋮ On the matrix-variate generalized hyperbolic distribution and its Bayesian applications ⋮ Bayesian Statistical Inference For Laplacian Class of Matrix Variate Elliptically Contoured Models ⋮ Prediction from a normal model using a generalized inverse Gaussian prior ⋮ PORTFOLIO RETURN DISTRIBUTIONS: SAMPLE STATISTICS WITH STOCHASTIC CORRELATIONS

Cites Work

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• Bessel functions of matrix argument
• Bayesian normal analysis with an inverse Gaussian prior
• First hitting time models for the generalized inverse Gaussian distribution
• Exponential transformation models

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