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Volume 43 (2013)
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Pg 1 - 74 (July 2011)
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Pg 1 - 116 (May 2009)
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Pg 133 - 251 (March 2009)
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Pg 1 - 132 (January 2009)
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Pg 1 - 128 (September 2008)
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Pg 1 - 144 (May 2008)
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Pg 1 - 136 (January 2008)
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Pg 1 - 135 (January 2007)
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Pg 117 - 232 (March 2004)
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Pg 1 - 115 (January 2004)
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Pg 105 - 214 (December 1998)
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Call for Papers:
Special Volume 2013 of the Far East Journal of Mathematical Sciences (FJMS) devoted to articles on Computer Sciences, Information Sciences, Financial Management and Biological Sciences.
*****
Foreign Subscriber Information:
Avail free access to the Electronic Version of Special Volume 2013 of the Far East Journal of Mathematical Sciences (FJMS) on its Foreign 2013 Subscription.
Call for Papers:
Special Volume 2013 of the Far East Journal of Mathematical Sciences (FJMS) devoted to articles on Computer Sciences, Information Sciences, Financial Management and Biological Sciences.
*****
Foreign Subscriber Information:
Avail free access to the Electronic Version of Special Volume 2013 of the Far East Journal of Mathematical Sciences (FJMS) on its Foreign 2013 Subscription.
Far East Journal of Theoretical Statistics
Far East Journal of Theoretical Statistics
Volume 24, Issue 1, Pages 35 - 48 (January 2008)
PREDICTION DISTRIBUTION FOR LINEAR REGRESSION MODEL WITH MULTIVARIATE STUDENT-
t
ERRORS
Azizur Rahman (Australia) and Shahjahan Khan (Australia)
Received April 2, 2007; Revised August 5, 2007
Abstract
The Bayesian approach under uniform prior is employed in this paper
to derive the prediction distribution for multiple regression model with multivariate Student-
t
error distribution. Conditional on a set of realized responses, a single and a set of future responses have a univariate and multivariate Student-
t
distributions, respectively, whose degrees of freedom depend on the size of the realized sample and the dimension of the regression parameters’ vector but do not depend on the degrees of freedom of the error distribution. Results are identical to those obtained under normal error distribution by a range of statistical approaches such as the structural distribution, structural relations and classical methods. This indicates not only the inference robustness
with respect to departures from normal error to multivariate Student-
t
error distributions, but also indicates that the Bayesian approach with uniform prior is competitive with other statistical methods in the derivation of prediction distribution.
Keywords and phrases:
multiple regression model, multivariate Student-
t
errors, Bayesian method, uniform prior, prediction distribution, beta, univariate and multivariate Student-
t
distributions.
Communicated by Andrew Rosalsky
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ISSN: 0972-0863
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