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

Tripti Chitranshi,
Anoop Chaturvedi, :

Editor: Khattree, Ravi,

READING THE ARTICLE: You can read the article in portable document (.pdf) format (168506 bytes.)

NOTE: The content of this article is the intellectual property of the authors, who retains all rights to future publication.

This page has been accessed 1436 times since JULY 15, 2011.

Return to the InterStat Home Page.