Far East Journal of Theoretical Statistics
Volume 14, Issue 1, Pages 25 - 31
(September 2004)
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BAYES PREDICTIVE DENSITY FOR THE ELLIPTICAL LINEAR MODEL
S. H. Kim (Korea)
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Abstract: This paper considers the Bayes prediction problem for a elliptical linear model with objective and non-informative Bayes prior information. This extends the result of Chib et al. [J. Econometrics 38 (1988), 349-360] for the compound multivariate normal linear model to the elliptical family. |
Keywords and phrases: non-informative prior, mixtures of multivariate t. |
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