The matrix-t distribution and its applications in predictive inference

B.M. Golam Kibria

Journal of Multivariate Analysis, 2006, vol. 97, issue 3, 785-795

Abstract: 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.

Keywords: Elliptically; contoured; distribution; Matrix-t; Multivariate; linear; model; Predictive; distribution; Robustness; Spatial; prediction; Tolerance; region (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (3)

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