Enriched conjugate and reference priors for the Wishart family on symmetric cones

DOI10.1214/aos/1065705116zbMath1046.62054OpenAlexW2064432846MaRDI QIDQ1431436

Guido Consonni, Piero Veronese

Publication date: 9 June 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1065705116

zbMATH Keywords

exponential familynoninformative priorPeirce decompositionconditional reducibility

Mathematics Subject Classification ID

Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05) Jordan algebras (algebras, triples and pairs) (17C99)

Related Items (12)

Wishart distributions for decomposable graphs ⋮ Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss ⋮ Wishart distributions for decomposable covariance graph models ⋮ Reference priors for linear models with general covariance structures ⋮ The inverse Riesz probability distribution on symmetric matrices ⋮ Reference priors for exponential families with simple quadratic variance function ⋮ Intrinsic priors for model comparison in multivariate normal regression ⋮ Estimation of Multivariate Complex Normal Covariance Matrices Under an Invariant Quadratic Loss ⋮ Flexible covariance estimation in graphical Gaussian models ⋮ Bayesian predictive densities based on superharmonic priors for the 2-dimensional Wishart model ⋮ Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss ⋮ Enriched standard conjugate priors and the right invariant prior for Wishart distributions

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