Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors

DOI10.1214/19-AOS1891zbMath1471.62280OpenAlexW3049713613MaRDI QIDQ2215742

Chengyuan Song, Dongchu Sun, James O. Berger

Publication date: 14 December 2020

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

Full work available at URL: https://projecteuclid.org/euclid.aos/1597370677

zbMATH Keywords

covarianceshrinkage priorsobjective priorsinverse Wishart prior

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Analysis of variance and covariance (ANOVA) (62J10)

Related Items

Posterior propriety of an objective prior for generalized hierarchical normal linear models, An objective prior for hyperparameters in normal hierarchical models, Bayesian estimation of constrained mean-covariance of normal distributions

Uses Software

• rstiefel

Cites Work

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