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Bayesian statistical inference on elliptical matrix distributions
Fang, KT; Li, RZ
1999-07-01
Source PublicationJOURNAL OF MULTIVARIATE ANALYSIS
ISSN0047-259X
Volume70Issue:1Pages:66-85
AbstractIn this paper we are concerned with Bayesian statistical inference for a class of elliptical distributions with parameters mu and Sigma. Under a noninformative prior distribution, we obtain the posterior distribution, posterior mean, and generalized maximim likelihood estimators of mu and Sigma. Under the entropy loss and quadratic loss, the best Bayesian estimators of Sigma are derived as well. Some applications are given. (C) 1999 Academic Press.
Keywordelliptical matrix distributions entropy loss posterior mean quadratic loss
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000080805400004
PublisherELSEVIER INC
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/14277
Collection中国科学院数学与系统科学研究院
Corresponding AuthorFang, KT
Affiliation1.Hong Kong Baptist Univ, Beijing, Peoples R China
2.Chinese Acad Sci, Inst Appl Math, Beijing, Peoples R China
3.Univ N Carolina, Chapel Hill, NC USA
Recommended Citation
GB/T 7714
Fang, KT,Li, RZ. Bayesian statistical inference on elliptical matrix distributions[J]. JOURNAL OF MULTIVARIATE ANALYSIS,1999,70(1):66-85.
APA Fang, KT,&Li, RZ.(1999).Bayesian statistical inference on elliptical matrix distributions.JOURNAL OF MULTIVARIATE ANALYSIS,70(1),66-85.
MLA Fang, KT,et al."Bayesian statistical inference on elliptical matrix distributions".JOURNAL OF MULTIVARIATE ANALYSIS 70.1(1999):66-85.
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