The matrix-t distribution and its applications in predictive inference

JOURNAL OF MULTIVARIATE ANALYSIS

卷:97

Article

Kibria, BMG

关键词: elliptically contoured distribution;    matrix-t;    multivariate linear model;    predictive distribution;    robustness;    spatial prediction;    tolerance region;   

DOI  :  10.1016/j.jmva.2005.08.001

来源: Elsevier

【 摘 要 】

The predictive distributions of the future responses and regression matrix under the multivariate elliptically contoured distributions are derived using structural approach. The predictive distributions are obtained as matrix-t which are identical to those obtained under matrix normal and matrix-t distributions. This gives inference robustness with respect to departures from the reference case of independent sampling from the matrix normal or dependent but uncorrelated sampling from matrix-t distributions. Some successful applications of matrix-t distribution in the field of spatial prediction have been addressed. (C) 2005 Elsevier Inc. All rights reserved.

【 授权许可】

Free