PREDICTION FOR SEEMINGLY UNRELATED REGRESSIONS

被引：1

作者：

PERCY, DF

机构：

来源：

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-METHODOLOGICAL | 1992年 / 54卷 / 01期

关键词：

BAYES ESTIMATE; GIBBS SAMPLING; PREDICTIVE DENSITY FUNCTION; SEEMINGLY UNRELATED REGRESSIONS;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The seemingly unrelated regressions model is described and analysed from a Bayesian perspective. The predictive density for this model cannot, in general, be evaluated analytically. Two approximations are proposed and investigated. These are Gibbs sampling and a first-order approximation based on a Bayes estimate of the precision matrix. These approximations are then compared on simulated data and both appear to give good results. Extensions to allow for missing data are also discussed.

引用

页码：243 / 252

页数：10

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