Statistical Bayesian estimation for multivariate T-distributions

DOI10.1023/A:1009593726979MaRDI QIDQ5942243zbMATH OpenOpenAlexFDO

Authors R. A. Abusev

Publication date 28 August 2001

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009593726979

zbMATH Keywords

biaslikelihood functionStudent's T-distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Parametric inference under constraints (62F30) Estimation in multivariate analysis (62H12)

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• Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution
• Likelihood inference on the mean vectors and scaled covariance matrix of two multivariate Student-t populations
• On estimation of probabilities of linear inequalities for multivariate \(T\)-distributions
• Statistical inference for models with multivariate t-distributed errors

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