Bayesian estimation of the dispersion matrix of a multivariate normal distribution

DOI10.1080/03610928508828960MaRDI QIDQ3702281zbMATH OpenOpenAlexFDO

Authors James M. Dickey, S. James Press, Dennis Lindley

Publication date 1985

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

Full work available at URL https://doi.org/10.1080/03610928508828960

zbMATH Keywords

consistency propertiesestimation of the dispersion matrixintraclass forminverted-Wishart distributionmaximum likelihoodmodal estimatesmodemultiple regressionmultivariate normal distributionposterior distributionzero mean

Mathematics Subject Classification ID

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

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Cites work

• Bayesianism: Its Unifying Role for Both the Foundations and Applications of Statistics
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• scientific article; zbMATH DE number 3302906 (Why is no real title available?)
• scientific article; zbMATH DE number 3314854 (Why is no real title available?)
• scientific article; zbMATH DE number 3189754 (Why is no real title available?)
• The role of exchangeability in inference

Cited in

(13)

• Empirical Bayesian estimation of normal variances and covariances
• Bayesian inference of a multivariate regression model
• Expert judgement for dependence in probabilistic modelling: a systematic literature review and future research directions
• NOVELIST estimator of large correlation and covariance matrices and their inverses
• An elicitation method for multivariate normal distributions
• Bayesian estimation of a covariance matrix with flexible prior specification
• A generalization of Wishart density for the case when the inverse of the covariance matrix is a band matrix
• Prior distribution assessment for a multivariate normal distribution: An experimental study
• Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review
• Enriched multinormal priors revisited
• Total probability and Bayes formulae for joint multidimensional-matrix Gaussian distributions
• Expert-elicitation method for non-parametric joint priors using normalizing flows
• Quantifying expert opinion for modelling fauna habitat distributions

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