TY - JOUR
T1 - Bayes prediction in the linear model with spherically symmetric errors
AU - Jammalamadaka, S. Rao
AU - Tiwari, Ram C.
AU - Chib, Siddhartha
PY - 1987
Y1 - 1987
N2 - This paper is concerned with Bayes prediction in a linear regression model when the density of the observations is given by f(y|β,τ2)=∫z>0(2π)7minus; n 2τ2 n 2{ψ(z)-2} n 2 exp(- τ2 2ψ(z)-2||Y-Xβ||2)dG(z), where y ε{lunate} Rn, β ε{lunate} Rk, π2 > 0, Z is a positive random variable with distribution function G, ψ (.) is a positive function, and ||·|| denotes the Euclidean norm. We show that when prior information is objective or in the conjugate family, the Bayes prediction density is the same as that when the density of the observations is normal, for any Z.
AB - This paper is concerned with Bayes prediction in a linear regression model when the density of the observations is given by f(y|β,τ2)=∫z>0(2π)7minus; n 2τ2 n 2{ψ(z)-2} n 2 exp(- τ2 2ψ(z)-2||Y-Xβ||2)dG(z), where y ε{lunate} Rn, β ε{lunate} Rk, π2 > 0, Z is a positive random variable with distribution function G, ψ (.) is a positive function, and ||·|| denotes the Euclidean norm. We show that when prior information is objective or in the conjugate family, the Bayes prediction density is the same as that when the density of the observations is normal, for any Z.
UR - https://www.scopus.com/pages/publications/38249038294
U2 - 10.1016/0165-1765(87)90178-9
DO - 10.1016/0165-1765(87)90178-9
M3 - Article
AN - SCOPUS:38249038294
SN - 0165-1765
VL - 24
SP - 39
EP - 44
JO - Economics Letters
JF - Economics Letters
IS - 1
ER -