Extended Natural Conjugate Distributions for the Multinormal Process (Classic Reprint) - Tapa dura

Sinopsis

Excerpt from Extended Natural Conjugate Distributions for the Multinormal Process

Furthermore, Rothenburg [4 points out an additional difficulty associated with natural conjugate analysis of the Multinormal process when this analysis is applied to reduced form systems; namely, if the joint prior of (i, E), the matrix of coefficients of the system and the inverse of the variance-covariance matrix of the residual error vector respectively, is in the natural conjugate family, then the marginal variances of all coefficients in the ith row of fl are proportional to the marginal variances of coefficients in the jth row of g. In practical problems, such a restriction is often undesirable. Zellner [5 attempts to deal with this problem.

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