The matrix-t distribution and its applications in predictive inference

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• 作者：B.M. Golam Kibria
• 关键词：Elliptically contoured distribution ; Matrix-t ; Multivariate linear model ; Predictive distribution ; Robustness ; Spatial prediction ; Tolerance region
• 刊名：Journal of Multivariate Analysis
• 出版年：2006
• 出版时间：March 2006
• 年：2006
• 卷：97
• 期：3
• 页码：785-795
• 全文大小：159 K

文摘

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-md5=7a9c24159d7b9849eb1595c524f8a041"" title=""Click to view the MathML source"">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-md5=1b56ffb963b8cc2a23e45c5c8eb9af59"" title=""Click to view the MathML source"">t distributions. Some successful applications of matrix-t distribution in the field of spatial prediction have been addressed.