Bayesian Statistical Inference on Elliptical Matrix Distributions
In this paper we are concerned with Bayesian statistical inference for a class of elliptical distributions with parameters[mu]and[Sigma]. Under a noninformative prior distribution, we obtain the posterior distribution, posterior mean, and generalized maximim likelihood estimators of[mu]and[Sigma]. Under the entropy loss and quadratic loss, the best Bayesian estimators of[Sigma]are derived as well. Some applications are given.
Year of publication: |
1999
|
---|---|
Authors: | Fang, Kai-Tai ; Li, Runze |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 70.1999, 1, p. 66-85
|
Publisher: |
Elsevier |
Keywords: | elliptical matrix distributions entropy loss posterior mean quadratic loss |
Saved in:
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