Journal article
A note on predictive inference for multivariate elliptically contoured distributions
Communications in Statistics - Theory and Methods, Vol.29(3), pp.477-483
2000
Abstract
The prediction problem is considered for the multivariate regression model with an elliptically contoured error distribution. We show that the predictive distribution under elliptical errors assumption is the same as that obtained under normally distributed error in both the Bayesian approach using an im-proper prior and the classical approach. This gives inference robustness with respect to departures from the reference case of independent sampling from the normal distribution.
Details
- Title
- A note on predictive inference for multivariate elliptically contoured distributions
- Authors/Creators
- V.M. Ng (Author/Creator) - Murdoch University
- Publication Details
- Communications in Statistics - Theory and Methods, Vol.29(3), pp.477-483
- Publisher
- Marcel Dekker Inc.
- Identifiers
- 991005542816207891
- Copyright
- © 2000 by Marcel Dekker, Inc
- Murdoch Affiliation
- School of Mathematical and Physical Sciences
- Language
- English
- Resource Type
- Journal article
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- Citation topics
- 9 Mathematics
- 9.92 Statistical Methods
- 9.92.220 Robust Estimation
- Web Of Science research areas
- Statistics & Probability
- ESI research areas
- Mathematics