Bayesian Inference in Multivariate Regression With Missing Observations on the Response Variables |
| |
Authors: | Irwin Guttman Ulrich Menzefricke |
| |
Institution: | 1. Department of Statistics , University of Toronto , Toronto , Ontario , Canada , M5S 1A1;2. Faculty of Management Studies , University of Toronto , Toronto , Ontario , Canada , M5S IV4 |
| |
Abstract: | We discuss the case of the multivariate linear model Y = XB + E with Y an (n × p) matrix, and so on, when there are missing observations in the Y matrix in a so-called nested pattern. We propose an analysis that arises by incorporating the predictive density of the missing observations in determining the posterior distribution of B, and its mean and variance matrix. This involves us with matric-T variables. The resulting analysis is illustrated with some Canadian economic data. |
| |
Keywords: | Predictive density Posterior of regression parameters Matric-T density Missing observations Money demand |
|
|