Robust Bayesian Analysis of Seemingly Unrelated Regression Model

by Tripti Chitranshi and Anoop Chaturvedi .

Abstract: The paper presents robust Bayesian analysis of SUR model. An contamination class of prior distributions for the parameters of the model, which is the mixture of a natural conjugate base prior and a contamination class of natural conjugate priors, has been considered. The conditional posterior densities have been derived for the parameters. We also discuss MCMC algorithm for obtaining the marginal posterior densities and estimates of parameters.

Key Words: Seemingly Unrelated Regression, robust Bayes, - contamination class of priors, posterior density, MCMC algorithm

Authors:
Tripti Chitranshi,
Anoop Chaturvedi, : anoopchaturv@gmail.com

Editor: Khattree, Ravi,khattree@oakland.edu

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