Bayesian multivariate normal analysis with a wishart prior

DOI10.1080/03610929508831629MaRDI QIDQ4337079zbMATH OpenOpenAlexFDO

Authors A. Bekker, J. J. J. Roux

Publication date 19 May 1997

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

Full work available at URL https://doi.org/10.1080/03610929508831629

zbMATH Keywords

multivariate normal distributionBayesian posteriorWishart priorBessel function of the second kind with matrix argumentmultivariate quadratic loss function

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3174866 (Why is no real title available?)
• scientific article; zbMATH DE number 3822927 (Why is no real title available?)
• scientific article; zbMATH DE number 3081880 (Why is no real title available?)
• Bayesian normal analysis with an inverse Gaussian prior
• Bessel functions of matrix argument
• Exponential transformation models
• First hitting time models for the generalized inverse Gaussian distribution

Cited in

(17)

• On the matrix-variate generalized hyperbolic distribution and its Bayesian applications
• The beta-Wishart ensemble
• scientific article; zbMATH DE number 2177337 (Why is no real title available?)
• A generalization of Wishart density for the case when the inverse of the covariance matrix is a band matrix
• Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors
• Bayesian estimation of a covariance matrix with flexible prior specification
• Portfolio return distributions: sample statistics with stochastic correlations
• Prediction from a normal model using a generalized inverse Gaussian prior
• Subjective Bayesian analysis of the elliptical model
• Matrix variate generalized asymmetric Laplace distributions
• Enriched standard conjugate priors and the right invariant prior for Wishart distributions
• Reference Prior Bayesian Analysis for Normal Mean Products
• On Inverted Matrix Variate Gamma Distribution
• Wishart distributions: advances in theory with Bayesian application
• Bayesian estimation of the dispersion matrix of a multivariate normal distribution
• Enriched conjugate and reference priors for the Wishart family on symmetric cones
• Bayesian statistical inference for Laplacian class of matrix variate elliptically contoured models

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