In this paper we define a generalized multivariate gamma (MG) distribution and develop various properties of this distribution. Then we consider a Bayesian decision theoretic approach to develop the inference technique for the related scale matrix [Sigma]. We show that maximum posteriori (MAP)...

It is important for portfolio manager to estimate and analyze the recent portfolio volatility to keep portfolio's risk within limit. Though number of financial instruments in the portfolio are very large, some times more than thousands, however daily returns considered for analysis is only for a...

Abstract Public policy relies strongly upon expert opinion, especially in risk assessment for rare events. But expert opinion is often inconsistent, both within and between experts. We therefore develop a statistical model for the elicited opinions, and use that to borrow strength across the...

We consider the problem of statistical inference of binomial proportions for non-matched, correlated samples, under the Bayesian framework. Such inference can arise when the same group is observed a different number of times on two or more inference occasions, with the aim of testing the...

Heterogeneity in choice models is typically assumed to have a normal distribution in both Bayesian and classical setups. In this paper, we propose a semiparametric Bayesian framework for the analysis of random coefficients discrete choice models that can be applied to both individual as well as...

It is crucial to check validation of any statistical model after fitting it for a given set of data. In Bayesian statistics, a researcher can check the fit of the model using a variety of strategies. In this paper we consider two major aspects, first checking that the posterior inferences are...

Nonlinear mixed-effects (NLME) models are popular in many longitudinal studies, including those on human immunodeficiency virus (HIV) viral dynamics, pharmacokinetic analysis, and studies of growth and decay analysis. Generally, the normality of the random effects is a common assumption in NLME...