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Bayesian multivariate normal analysis with a wishart prior |
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| Authors: | A. Bekker J.J.J. Roux |
| Affiliation: | Department of Statistics , University of South Africa , P.O. Box 392, Pretoria, 0001, South Africa |
| Abstract: | This paper considers the Bayesian analysis of the multivariate normal distribution when its covariance matrix has a Wishart prior density under the assumption of a multivariate quadratic loss function. New flexible marginal posterior distributions of the mean μ and of the covariance matrix Σ are developed and univariate cases with graphical representations are given. |
| Keywords: | Bayesian posterior Bessel function of the second kind with matrix argument multivariate normal distribution multivariate quadratic loss function Wishart prior |