Bayesian statistical inference on elliptical matrix distributions

Kai Tai Fang, Runze Li

Research output: Contribution to journalArticlepeer-review

24 Scopus citations

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 languageEnglish (US)
Pages (from-to)66-85
Number of pages20
JournalJournal of Multivariate Analysis
Volume70
Issue number1
DOIs
StatePublished - Jul 1999

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Numerical Analysis
  • Statistics, Probability and Uncertainty

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