IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v100y2009i7p1440-1446.html
   My bibliography  Save this article

Predictive inference for singular multivariate elliptically contoured distributions

Author

Listed:
  • Liu, Jin Shan
  • Ip, Wai Cheung
  • Wong, Heung

Abstract

We have derived the predictive distributions of future responses and the regression matrix in the multivariate linear regression model, under the singular or nonsingular matrix variate elliptically contoured distribution with noninformative prior, with respect to the Hausdorff measure. The predictive distributions are also derived under the singular or nonsingular matrix variate normal distribution with normal-inverse Wishart conjugate prior as a particular case of the matrix elliptically contoured distribution. The predictive distributions are singular or nonsingular matrix-T distributions introduced by Diaz-Garcia and Gutierrez-Jaimez [J.A. Diaz-Garcia, R. Gutierrez-Jaimez, Distribution of the generalized inverse of a random matrix and its applications, J. Statist. Plann. Inference 136 (2006) 183-192], both in the noninformative and conjugate prior cases. The first result gives inference robustness with respect to departures from the underlying distribution assumption in the direction of elliptically contoured distributions, even in the singularly distributed case.

Suggested Citation

  • Liu, Jin Shan & Ip, Wai Cheung & Wong, Heung, 2009. "Predictive inference for singular multivariate elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1440-1446, August.
    • Handle: RePEc:eee:jmvana:v:100:y:2009:i:7:p:1440-1446
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(08)00284-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Kim, Hyoung-Moon & Mallick, Bani K., 2003. "A note on Bayesian spatial prediction using the elliptical distribution," Statistics & Probability Letters, Elsevier, vol. 64(3), pages 271-276, September.
    2. Díaz-García, José A. & González-Farías, Graciela, 2005. "Singular random matrix decompositions: distributions," Journal of Multivariate Analysis, Elsevier, vol. 94(1), pages 109-122, May.
    3. Kibria, B. M. Golam & Haq, M. Safiul, 1999. "Predictive Inference for the Elliptical Linear Model," Journal of Multivariate Analysis, Elsevier, vol. 68(2), pages 235-249, February.
    4. Díaz-García, José A., 2007. "A note about measures and Jacobians of singular random matrices," Journal of Multivariate Analysis, Elsevier, vol. 98(5), pages 960-969, May.
    5. Kibria, B.M. Golam, 2006. "The matrix-t distribution and its applications in predictive inference," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 785-795, March.
    6. Khan, Shahjahan, 2002. "Distribution of Sum of Squares and Products Matrices for the Generalized Multilinear Matrix-T Model," Journal of Multivariate Analysis, Elsevier, vol. 83(1), pages 124-140, October.
    7. Díaz-García, José A. & González-Farías, Graciela, 2005. "Singular random matrix decompositions: Jacobians," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 296-312, April.
    8. Kibria B.M.G. & Sun L. & Zidek J. V. & Le N. D., 2002. "Bayesian Spatial Prediction of Random Space-Time Fields With Application to Mapping PM2.5 Exposure," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 112-124, March.
    9. Díaz-García, José A. & Jáimez, Ramón Gutierrez & Mardia, Kanti V., 1997. "Wishart and Pseudo-Wishart Distributions and Some Applications to Shape Theory," Journal of Multivariate Analysis, Elsevier, vol. 63(1), pages 73-87, October.
    10. Chib, Siddhartha & Tiwari, Ram C. & Jammalamadaka, S. Rao, 1988. "Bayes prediction in regressions with elliptical errors," Journal of Econometrics, Elsevier, vol. 38(3), pages 349-360, July.
    11. Ng, Vee Ming, 2002. "Robust Bayesian Inference for Seemingly Unrelated Regressions with Elliptical Errors," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 409-414, November.
    12. Kubokawa, T. & Srivastava, M. S., 2001. "Robust Improvement in Estimation of a Mean Matrix in an Elliptically Contoured Distribution," Journal of Multivariate Analysis, Elsevier, vol. 76(1), pages 138-152, January.
    13. Fang, Kai-Tai & Li, Runze, 1999. "Bayesian Statistical Inference on Elliptical Matrix Distributions," Journal of Multivariate Analysis, Elsevier, vol. 70(1), pages 66-85, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nkurunziza, Sévérien & Chen, Fuqi, 2013. "On extension of some identities for the bias and risk functions in elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 190-201.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kibria, B.M. Golam, 2006. "The matrix-t distribution and its applications in predictive inference," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 785-795, March.
    2. Kjetil B. Halvorsen & Victor Ayala & Eduardo Fierro, 2016. "On the Marginal Distribution of the Diagonal Blocks in a Blocked Wishart Random Matrix," International Journal of Analysis, Hindawi, vol. 2016, pages 1-5, November.
    3. Jiang, Jie & Wang, Lichun, 2024. "Bayes minimax estimator of the mean vector in an elliptically contoured distribution," Statistics & Probability Letters, Elsevier, vol. 213(C).
    4. Dong, Xiaoyu & Mathew, Thomas, 2015. "Central tolerance regions and reference regions for multivariate normal populations," Journal of Multivariate Analysis, Elsevier, vol. 134(C), pages 50-60.
    5. Díaz-García, José A. & Gutiérrez-Jáimez, Ramón, 2006. "The distribution of the residual from a general elliptical multivariate linear model," Journal of Multivariate Analysis, Elsevier, vol. 97(8), pages 1829-1841, September.
    6. Díaz-García, José A., 2007. "A note about measures and Jacobians of singular random matrices," Journal of Multivariate Analysis, Elsevier, vol. 98(5), pages 960-969, May.
    7. Kim, Hyoung-Moon & Mallick, Bani K., 2003. "A note on Bayesian spatial prediction using the elliptical distribution," Statistics & Probability Letters, Elsevier, vol. 64(3), pages 271-276, September.
    8. Zellner, Arnold & Ando, Tomohiro, 2010. "Bayesian and non-Bayesian analysis of the seemingly unrelated regression model with Student-t errors, and its application for forecasting," International Journal of Forecasting, Elsevier, vol. 26(2), pages 413-434, April.
    9. Fernández, Carmen & Osiewalski, Jacek & Steel, Mark F. J., 2001. "Robust Bayesian Inference on Scale Parameters," Journal of Multivariate Analysis, Elsevier, vol. 77(1), pages 54-72, April.
    10. Fourdrinier, Dominique & Strawderman, William E., 2016. "Stokes’ theorem, Stein’s identity and completeness," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 224-231.
    11. Omer L. Gebizlioglu & Serap Yörübulut, 2016. "A Pseudo-Pareto Distribution and Concomitants of Its Order Statistics," Methodology and Computing in Applied Probability, Springer, vol. 18(4), pages 1043-1064, December.
    12. Aurélie Boisbunon & Stéphane Canu & Dominique Fourdrinier & William Strawderman & Martin T. Wells, 2014. "Akaike's Information Criterion, C p and Estimators of Loss for Elliptically Symmetric Distributions," International Statistical Review, International Statistical Institute, vol. 82(3), pages 422-439, December.
    13. Osiewalski, J. & Steel, M.F.J., 1989. "A Bayesian analysis of exogeneity in models pooling time-series and cross-section data," Discussion Paper 1989-14, Tilburg University, Center for Economic Research.
    14. José Díaz-García & Francisco Caro-Lopera, 2012. "Generalised shape theory via SV decomposition I," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(4), pages 541-565, May.
    15. Díaz García, José A. & González Farías, Graciela, 2002. "Singular random matrix decompositions: distributions," DES - Working Papers. Statistics and Econometrics. WS ws024211, Universidad Carlos III de Madrid. Departamento de Estadística.
    16. Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2013. "On the exact and approximate distributions of the product of a Wishart matrix with a normal vector," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 70-81.
    17. Maruyama Yuzo, 2003. "A robust generalized Bayes estimator improving on the James-Stein estimator for spherically symmetric distributions," Statistics & Risk Modeling, De Gruyter, vol. 21(1), pages 69-78, January.
    18. Tsukuma, Hisayuki, 2016. "Estimation of a high-dimensional covariance matrix with the Stein loss," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 1-17.
    19. Anwar Joarder, 2008. "Some useful integrals and their applications in correlation analysis," Statistical Papers, Springer, vol. 49(2), pages 211-224, April.
    20. Zellner, Arnold & Ando, Tomohiro, 2010. "A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model," Journal of Econometrics, Elsevier, vol. 159(1), pages 33-45, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:100:y:2009:i:7:p:1440-1446. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.