Bayesian Variable Selection for the Seemingly Unrelated Regression Models with a Large Number of Predictors

DOI10.14490/jjss.41.187zbMath1403.62034OpenAlexW2088081546MaRDI QIDQ4905028

Tomohiro Ando

Publication date: 14 February 2013

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=41_187&screenID=AF06S010&noVol=41&noIssue=2

zbMATH Keywords

Bayesian estimationreversible jump Markov chain Monte Carloseemingly unrelated regressiondirect Monte Carlo

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Bayesian inference (62F15) Monte Carlo methods (65C05)

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Best equivariant estimator of regression coefficients in a seemingly unrelated regression model with known correlation matrix ⋮ Robust Bayesian seemingly unrelated regression model

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