A NOTE ON BAYESIAN-INFERENCE IN A REGRESSION-MODEL WITH ELLIPTIC ERRORS

被引：14

作者：

OSIEWALSKI, J ^{[1
]}

机构：

[1] CORE,B-1348 LOUVAIN,BELGIUM

来源：

JOURNAL OF ECONOMETRICS | 1991年 / 48卷 / 1-2期

关键词：

D O I：

10.1016/0304-4076(91)90037-E

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this note estimation and prediction is considered for a (linear or nonlinear) regression model with the error vector distributed as a scale mixture of multivariate normal distributions. The results obtained for the linear model by Zellner (1976), Jammalamadaka et al. (1987), and Chib et al. (1988) are explained and generalized to much more general classes of regression models and prior distributions.

引用

页码：183 / 193

页数：11

共 7 条

[1] ON THE THEORY OF ELLIPTICALLY CONTOURED DISTRIBUTIONS [J].