Title : ( Subjective Bayesian Analysis of the Elliptical Model )
Authors: J. VAN NIEKERK , A. BEKKER , Mohammad Arashi , J.J.J. ROUX ,
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Abstract
For the multivariate elliptical model subjective Bayesian estimators of the location vector and some functions of the characteristic matrix with the normal-inverse Wishart and the normal-Wishart as prior, respectively, are derived. Fang and Li (1999) considered the elliptical model for Bayesian analysis for an objective prior structure. In addition, the newly developed results are applied to the multivariate normal- and t-distribution. A performance study is done to evaluate the normal-gamma and normal-inverse gamma distributions as suitable priors. A practical application for the posterior distributions of the multivariate t-distribution is included by means of Gibbs sampling and a Metropolis-Hastings algorithm.
Keywords
, Bayesian; Characteristic matrix; Elliptically contoured; Location vector; Normal, inverse Wishart; Normal, Wishart
@article{paperid:1082639,
author = {J. VAN NIEKERK and A. BEKKER and Arashi, Mohammad and J.J.J. ROUX},
title = {Subjective Bayesian Analysis of the Elliptical Model},
journal = {Communications in Statistics - Theory and Methods},
year = {2015},
volume = {44},
number = {17},
month = {September},
issn = {0361-0926},
pages = {3738--3753},
numpages = {15},
keywords = {Bayesian; Characteristic matrix; Elliptically contoured; Location vector; Normal-inverse Wishart; Normal-Wishart},
}
%0 Journal Article
%T Subjective Bayesian Analysis of the Elliptical Model
%A J. VAN NIEKERK
%A A. BEKKER
%A Arashi, Mohammad
%A J.J.J. ROUX
%J Communications in Statistics - Theory and Methods
%@ 0361-0926
%D 2015
