Weighted-type Wishart distributions with application
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Date
Authors
Arashi, Mohammad
Bekker, Andriette, 1958-
Van Niekerk, Janet
Journal Title
Journal ISSN
Volume Title
Publisher
National Statistical Institute of Portugal
Abstract
In this paper, we consider a general framework for constructing new valid densities
regarding a random matrix variate. However, we focus speci cally on the Wishart
distribution. The methodology involves coupling the density function of the Wishart
distribution with a Borel measurable function as a weight. We propose three di erent
weights by considering trace and determinant operators on matrices. The charac-
teristics for the proposed weighted-type Wishart distributions are studied and the
enrichment of this approach is illustrated. A special case of this weighted-type dis-
tribution is applied in the Bayesian analysis of the normal model in the univariate
and multivariate cases. It is shown that the performance of this new prior model is
competitive using various measures.
Description
Keywords
Bayesian analysis, Eigenvalues, Kummer gamma, Kummer Wishart, Matrix variate, Weight function, Wishart distribution
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Citation
Arashi, M., Bekker, A. & Van Niekerk, J. 2017, 'Weighted-type Wishart distributions with application', Revstat Statistical Journal, vol. 15, no. 2, pp. 205-222.