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

DOI10.1016/0165-1765(91)90076-WMaRDI QIDQ1189352zbMATH OpenFDO

Authors Siddhartha Chib, Jacek Osiewalski, M. 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

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

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Cites work

• scientific article; zbMATH DE number 3898000 (Why is no real title available?)
• Bayes prediction in regressions with elliptical errors
• Bayes prediction in the linear model with spherically symmetric errors
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Estimation of error variance in linear regression models with errors having multivariate Student-\(t\) distribution with unknown degrees of freedom
• Posterior analysis of stochastic frontier models using Gibbs sampling

Cited in

(16)

• A Truncated Bivariate t Distribution
• On the properties of the likelihood function of Spanos' conditional \(t\) heteroskedastic model
• Inconsistency of estimate of the degree of freedom of multivariate Student-\(t\) disturbances in linear regression models
• Posterior property of Student-\(t\) linear regression model using objective priors
• Robust Bayesian inference in elliptical regression models
• Posterior analysis of state space model with spherical symmetricity
• Objective priors for the number of degrees of freedom of a multivariate \(t\) distribution and the \(t\)-copula
• A note on linearly constrained Bayes estimator in elliptical models
• Bayesian analysis in multivariate regression models with conjugate priors
• Bayesian marginal equivalence of elliptical regression models
• Bayesian analysis of nonlinear regression with equicorrelated elliptical errors
• Corrected estimates for Studenttregression models with unknown degrees of freedom
• Objective prior for the number of degrees of freedom of a \(t\) distribution
• Advances and challenges in inferences for elliptically contoured \(t\) distributions
• Robust Bayesian analysis of the linear regression model
• An overview of robust Bayesian analysis. (With discussion)

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