Bayesian prediction of matrix elliptical multivariate models with conjugate prior
Paper
Paper/Presentation Title | Bayesian prediction of matrix elliptical multivariate models with conjugate prior |
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Presentation Type | Paper |
Authors | Arashi, Mohamed (Author) and Khan, Shahjahan (Author) |
Editors | Ahmed, Munir |
Journal or Proceedings Title | Proceedings of the 11th Islamic Countries Conference on Statistical Sciences |
Journal Citation | 21, pp. 55-65 |
Number of Pages | 11 |
Year | 2012 |
Place of Publication | Lahore, Pakistan |
ISBN | 9789698858094 |
Web Address (URL) of Paper | https://old.isoss.net/downloads/Proc%20ICCS-11.pdf |
Web Address (URL) of Conference Proceedings | https://isoss.net/organization-2/ |
Conference/Event | 11th Islamic Countries Conference on Statistical Sciences |
Event Details | 11th Islamic Countries Conference on Statistical Sciences Parent Islamic Countries Conference on Statistical Sciences (ICCS) Delivery In person Event Date 19 to end of 22 Dec 2011 Event Location Lahore, Pakistan |
Abstract | This paper considers a multivariate regression model with a matrix variate elliptically contoured (MEC) distribution for the responses. The MEC is defined as a mixture distribution of inverse Laplace transformation and matrix variate normal distribution. The prediction distribution of a set of matrix future responses from the same model with common indexing parameters is obtained under Bayesian framework with the conjugate prior of the parameters. The prediction distribution is found to be a matrix-T distribution. The results of the paper is a generalization of earlier results for linear models in terms of the generalization of the (i) multiple regression model, (ii) normal or Student-t distribution, and (iii) joint conjugate prior distribution. |
Keywords | multivariate regression model; elliptically contoured distribution; inverse Laplace transform; conjugate prior; matrix-T distribution; prediction |
ANZSRC Field of Research 2020 | 490509. Statistical theory |
490506. Probability theory | |
Byline Affiliations | Shahrood University of Technology, Iran |
Australian Centre for Sustainable Catchments | |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q14vv/bayesian-prediction-of-matrix-elliptical-multivariate-models-with-conjugate-prior
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