Bayesian modeling of several covariance matrices and some results on propriety of the posterior for linear regression with correlated and/or heterogeneous errors

DOI10.1016/j.jmva.2005.06.001zbMath1089.62025OpenAlexW2091416488MaRDI QIDQ2493138

Michael J. Daniels

Publication date: 9 June 2006

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2005.06.001

zbMATH Keywords

Markov chain Monte CarloBayes factorspectral decompositionimproper priorsCholesky decompositionvariance-correlation decomposition

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Bayesian inference (62F15)

Related Items

Simultaneous modelling of the Cholesky decomposition of several covariance matrices, Bayesian modeling of the dependence in longitudinal data via partial autocorrelations and marginal variances, A cautionary note on generalized linear models for covariance of unbalanced longitudinal data, A shrinkage approach to joint estimation of multiple covariance matrices

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