OSIEWALSKI, Jacek; STEEL, Mark F.J. - In: Annales d'Economie et de Statistique (1993) 32, pp. 65-79
This paper develops Bayesian approaches to deal with linear elliptical regression models that differ in the covariance structure. A pretest method based on posterior model probabilities is compared with a pooling approach, and the data density is defined as a mixture of elliptical densities with...