Please use this identifier to cite or link to this item:
Bunke, Olaf
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper 2002,58
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 ormal-Wishart distribution for the parameters. The posterior distribution for the parameters is determined and is a mixture of normal-Wishart distributions. The posterior mean of the observation distributions is a mixture of generalized Student distributions and of kernel estimates and empirical distributions based on pseudoobservations. Explicit expressions are given in the special cases of location - scale and two-sample models. The calculation of selfinformative limits of Bayes estimates yields standard estimates.
Dirichlet prior
Multivariate linear model
location-scale model
twosample model
Persistent Identifier of the first edition: 
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
151.41 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.