Bayesian inference for a covariance matrix

DOI10.1214/aos/1176348885zbMath0765.62031OpenAlexW2051370783MaRDI QIDQ1208638

John S. J. Hsu, Thomas Leonard

Publication date: 16 May 1993

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348885

zbMATH Keywords

matrix exponentialmultivariate normal distributionBayesian marginalizationcovariance matricesmatrix logarithmexchangeable distributionlikelihood approximationhierarchical Bayesian estimationhierarchical priorclass of prior distributionsasymptotic frequency propertiesBellman's iterative solutionempirical Bayes smoothingfinite sample inference techniquesintraclass hypothesisinverted Wishart distribution

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12) Empirical decision procedures; empirical Bayes procedures (62C12) Volterra integral equations (45D05)

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