Bayesian estimation of a covariance matrix with flexible prior specification

Chih-Wen Hsu (), Marick Sinay () and John Hsu ()

Annals of the Institute of Statistical Mathematics, 2012, vol. 64, issue 2, 319-342

Keywords: Gibbs sampling; Hierarchical analysis; Importance sampling; Laplacian approximation; Markov Chain Monte Carlo; Matrix logarithm transformation; Metropolis–Hastings algorithm; Volterra integral equation (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10463-010-0314-5

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