Bayesian multivariate normal analysis with a wishart prior

DOI10.1080/03610929508831629zbMATH Open0875.62123OpenAlexW1996228782MaRDI QIDQ4337079FDOQ4337079

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

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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)

Cites Work

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• First hitting time models for the generalized inverse Gaussian distribution
• Bessel functions of matrix argument
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• Exponential transformation models
• Bayesian normal analysis with an inverse Gaussian prior
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Cited In (17)

• Enriched standard conjugate priors and the right invariant prior for Wishart distributions
• Bayesian estimation of a covariance matrix with flexible prior specification
• Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors
• Subjective Bayesian analysis of the elliptical model
• Matrix variate generalized asymmetric Laplace distributions
• Reference Prior Bayesian Analysis for Normal Mean Products
• Bayesian statistical inference for Laplacian class of matrix variate elliptically contoured models
• A generalization of Wishart density for the case when the inverse of the covariance matrix is a band matrix
• Enriched conjugate and reference priors for the Wishart family on symmetric cones
• On the matrix-variate generalized hyperbolic distribution and its Bayesian applications
• Title not available (Why is that?)
• Prediction from a normal model using a generalized inverse Gaussian prior
• On Inverted Matrix Variate Gamma Distribution
• The beta-Wishart ensemble
• Bayesian estimation of the dispersion matrix of a multivariate normal distribution
• Wishart distributions: advances in theory with Bayesian application
• Portfolio return distributions: sample statistics with stochastic correlations

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