Bayes estimates in multivariate semiparametric linear models |
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| Authors: | Olaf Bunke |
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| Institution: | Institut fur Mathematik, Humboldt Universitat zu Berlin , Unter den Linden 6, Berlin, 10099, Germany |
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| Abstract: | Bayes estimates are derived in multivariate linear models with unknown distribution. The prior distribution is defined using a Dirichlet prior for the unknown error distribution and a normal-Wishart distribution for the parameters. The posterior distribution is determined and explicit expressions are given in the special cases of location-scale and two-sample models. The calculation of self-informative limits of Bayes estimates yields standard estimates. |
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| Keywords: | Multivariate linear model Location model Scale model Linear regression |
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