IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v70y1999i1p66-85.html
   My bibliography  Save this article

Bayesian Statistical Inference on Elliptical Matrix Distributions

Author

Listed:
  • Fang, Kai-Tai
  • Li, Runze

Abstract

In 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.

Suggested Citation

  • Fang, Kai-Tai & Li, Runze, 1999. "Bayesian Statistical Inference on Elliptical Matrix Distributions," Journal of Multivariate Analysis, Elsevier, vol. 70(1), pages 66-85, July.
    • Handle: RePEc:eee:jmvana:v:70:y:1999:i:1:p:66-85
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(98)91816-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. M. Arashi & B. Kibria & A. Tajadod, 2015. "On shrinkage estimators in matrix variate elliptical models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(1), pages 29-44, January.
    2. Mário Castro & Ignacio Vidal, 2019. "Bayesian inference in measurement error models from objective priors for the bivariate normal distribution," Statistical Papers, Springer, vol. 60(4), pages 1059-1078, August.
    3. Chung, Hee Cheol & Ahn, Jeongyoun, 2021. "Subspace rotations for high-dimensional outlier detection," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
    4. Fernández, Carmen & Osiewalski, Jacek & Steel, Mark F. J., 2001. "Robust Bayesian Inference on Scale Parameters," Journal of Multivariate Analysis, Elsevier, vol. 77(1), pages 54-72, April.
    5. Kibria, B.M. Golam, 2006. "The matrix-t distribution and its applications in predictive inference," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 785-795, March.
    6. Liu, Jin Shan & Ip, Wai Cheung & Wong, Heung, 2009. "Predictive inference for singular multivariate elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1440-1446, August.
    7. Díaz-García, José A. & Gutiérrez-Jáimez, Ramón, 2011. "Distributions of the compound and scale mixture of vector and spherical matrix variate elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 143-152, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:70:y:1999:i:1:p:66-85. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.