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Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 2002,58
Verlag: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Dirichlet prior
Multivariate linear model
location-scale model
twosample model
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
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