Posterior inference on the degrees of freedom parameter in multivariate- \(t\) regression models

DOI10.1016/0165-1765(91)90076-WzbMath0748.62033MaRDI QIDQ1189352

Siddhartha Chib, Jacek Osiewalski, Mark F. J. Steel

Publication date: 26 September 1992

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

degrees of freedomsample informationmultivariate Student-\(t\) distributionnonlinear error modelsoverall prior structureposterior inference

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) General nonlinear regression (62J02)

Related Items (11)

An overview of robust Bayesian analysis. (With discussion) ⋮ Posterior analysis of state space model with spherical symmetricity ⋮ Robust Bayesian analysis of the linear regression model ⋮ Bayesian analysis in multivariate regression models with conjugate priors ⋮ A note on linearly constrained Bayes estimator in elliptical models ⋮ A Truncated Bivariate t Distribution ⋮ Bayesian analysis of nonlinear regression with equicorrelated elliptical errors ⋮ Advances and Challenges in Inferences for Elliptically Contoured t Distributions ⋮ Robust Bayesian inference in elliptical regression models ⋮ On the Properties of the Likelihood Function of Spanos' Conditional t Heteroskedastic Model ⋮ Bayesian marginal equivalence of elliptical regression models

Cites Work

• Bayes prediction in the linear model with spherically symmetric errors
• Estimation of error variance in linear regression models with errors having multivariate Student-\(t\) distribution with unknown degrees of freedom
• Bayes prediction in regressions with elliptical errors
• Posterior analysis of stochastic frontier models using Gibbs sampling
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Unnamed Item

This page was built for publication: Posterior inference on the degrees of freedom parameter in multivariate- \(t\) regression models