On the Greatest Class of Conjugate Priors and Sensitivity of Multivariate Normal Posterior Distributions

W. Bischoff

Journal of Multivariate Analysis, 1993, vol. 44, issue 1, 69-81

Abstract: When samples are taken from a (multivariate) normal distribution then under suitable conditions we characterize the greatest class of priors such that the posterior distribution is also (multivariate) normal. In this case exact formulas are given showing how the mean and covariance matrix of the posterior normal distribution depend on the sample and on the a priori distribution; these formulas may be viewed as sensitivity of the posterior distribution to the prior and sample distribution.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047-259X(83)71004-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:44:y:1993:i:1:p:69-81

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().