Hpd-Regions for the Linear Regression Model

Klaus Pötzelberger
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Klaus Pötzelberger: Technische Universität Wien

A chapter in Probability and Bayesian Statistics, 1987, pp 395-402 from Springer

Abstract: Abstract In this paper we are concerned with the influence of the a-priori precision of θ on the HPD-regions for the linear regression model y = Xθ + ε. For fixed a-priori mean the set of a-posteriori means of θ has been examined in detail by Learner and Chamberlain (1976) and Polasek (1984). It has been shown that this set forms an ellipsoid, the so-called feasible ellipsoid.

Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-1885-9_40

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DOI: 10.1007/978-1-4613-1885-9_40

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