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Bunke, Olaf
Year of Publication: 
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 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
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Working Paper

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