Abstract
In this paper we are concerned with Bayesian statistical inference for a class of elliptical distributions with parameters μ and Σ. Under a noninformative prior distribution, we obtain the posterior distribution, posterior mean, and generalized maximim likelihood estimators of μ and Σ. Under the entropy loss and quadratic loss, the best Bayesian estimators of Σ are derived as well. Some applications are given.
Original language | English |
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Pages (from-to) | 66-85 |
Number of pages | 20 |
Journal | Journal of Multivariate Analysis |
Volume | 70 |
Issue number | 1 |
DOIs | |
Publication status | Published - Jul 1999 |
Externally published | Yes |
Scopus Subject Areas
- Statistics and Probability
- Numerical Analysis
- Statistics, Probability and Uncertainty
User-Defined Keywords
- Elliptical matrix distributions
- Entropy loss
- Posterior mean
- Quadratic loss