Bayesian estimation of a covariance matrix with flexible prior specification
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Publication:421411
DOI10.1007/s10463-010-0314-5zbMath1238.62029MaRDI QIDQ421411
John S. J. Hsu, Chih-Wen Hsu, Marick S. Sinay
Publication date: 23 May 2012
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-010-0314-5
importance sampling; Markov chain Monte Carlo; Volterra integral equation; Metropolis-Hastings algorithm; Gibbs sampling; hierarchical analysis; Laplacian approximation; matrix logarithm transformation
62H12: Estimation in multivariate analysis
62H20: Measures of association (correlation, canonical correlation, etc.)
62F15: Bayesian inference
62P15: Applications of statistics to psychology
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