Inverse Wishart distributions based on singular elliptically contoured distribution

被引：6
|
作者：
Ip, Wai Cheung
Wong, Heung
Liu, Jin Shan
机构：
[1] Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China
[2] S China Agr Univ, Coll Sci, Dept Math, Guangzhou 510642, Peoples R China
来源：
LINEAR ALGEBRA AND ITS APPLICATIONS | 2007年 / 420卷 / 2-3期
基金：
中国国家自然科学基金;
关键词：
generalized Wishart and pseudo-Wishart distributions; Hausdorff measure; elliptically contoured distribution; Bayesian inference;
D O I：
10.1016/j.laa.2006.07.027
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Assuming that the random matrix X has a singular or nonsingular matrix variate elliptically contoured distribution, the density function of the Moore-Penrose inverse Z = (X'X)+ is given with respect to the Hausdorff measure. The result is applied to Bayesian inference for a general multivariate linear regression model with matrix variate elliptically distributed errors. Some results concerning the posterior joint and marginal distributions of the parameters are obtained. (c) 2006 Elsevier Inc. All rights reserved.
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页码：424 / 432
页数：9
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