Journal article
Robust Bayesian inference for seemingly unrelated regressions with elliptical errors
Journal of Multivariate Analysis, Vol.83(2), pp.409-414
2002
Abstract
Bayesian inference is considered for the seemingly unrelated regressions with an elliptically contoured error distribution. We show that the posterior distribution of the regression parameters and the predictive distribution of future observations under elliptical errors assumption are identical to those obtained under independently distributed normal errors when an improper prior is used. This gives inference robustness with respect to departures from the reference case of independent sampling from the normal distribution.
Details
- Title
- Robust Bayesian inference for seemingly unrelated regressions with elliptical errors
- Authors/Creators
- V.M. Ng (Author/Creator) - Murdoch University
- Publication Details
- Journal of Multivariate Analysis, Vol.83(2), pp.409-414
- Publisher
- Academic Press
- Identifiers
- 991005542840107891
- Copyright
- © 2002 Elsevier Science
- Murdoch Affiliation
- School of Engineering Science
- 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