Extended Natural Conjugate Distributions for the Multinormal Process (Classic Reprint) - Rilegato

Ando, Albert

9780331939071: Extended Natural Conjugate Distributions for the Multinormal Process (Classic Reprint)

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ISBN 10: 033193907X ISBN 13: 9780331939071

Casa editrice: Forgotten Books, 2018

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Excerpt from Extended Natural Conjugate Distributions for the Multinormal Process

Furthermore, Rothenburg [4 points out an additional difficulty associated with natural conjugate analysis of the Multinormal process when this analysis is applied to reduced form systems; namely, if the joint prior of (i, E), the matrix of coefficients of the system and the inverse of the variance-covariance matrix of the residual error vector respectively, is in the natural conjugate family, then the marginal variances of all coefficients in the ith row of ﬂ are proportional to the marginal variances of coefficients in the jth row of g. In practical problems, such a restriction is often undesirable. Zellner [5 attempts to deal with this problem.

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