A Note On Bayesian-inference in a Regression-model With Elliptic Errors

Osiewalski, J.
(1991) Journal of Econometrics — Vol. 48, n° 1-2, p. 183-193 (1991)

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  • Osiewalski, J.
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Abstract
In this note estimation and prediction is considered for a (linear or nonlinear) regression model with the error vector distributed as a scale mixture of multivariate normal distributions. The results obtained for the linear model by Zellner (1976), Jammalamadaka et al. (1987), and Chib et al. (1988) are explained and generalized to much more general classes of regression models and prior distributions.
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Osiewalski, J. (1991). A Note On Bayesian-inference in a Regression-model With Elliptic Errors. Journal of Econometrics, 48(1-2), 183-193. https://doi.org/10.1016/0304-4076(91)90037-E (Original work published 1991)