Bayesian Statistical Inference on Elliptical Matrix Distributions

✍ Scribed by Kai-Tai Fang; Runze Li

• Publisher: Elsevier Science
• Year: 1999
• Tongue: English
• Weight: 156 KB
• Volume: 70
• Category: Article
• ISSN: 0047-259X
• DOI: 10.1006/jmva.1998.1816

✦ Synopsis

In this paper we are concerned with Bayesian statistical inference for a class of elliptical distributions with parameters + and 7. Under a noninformative prior distribution, we obtain the posterior distribution, posterior mean, and generalized maximim likelihood estimators of + and 7. Under the entropy loss and quadratic loss, the best Bayesian estimators of 7 are derived as well. Some applications are given.