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Bayesian estimation of a covariance matrix with flexible prior specification

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  • Chih-Wen Hsu
  • Marick Sinay
  • John Hsu

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Suggested Citation

  • Chih-Wen Hsu & Marick Sinay & John Hsu, 2012. "Bayesian estimation of a covariance matrix with flexible prior specification," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(2), pages 319-342, April.
  • Handle: RePEc:spr:aistmt:v:64:y:2012:i:2:p:319-342
    DOI: 10.1007/s10463-010-0314-5
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    References listed on IDEAS

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    1. Shawn Ni & Dongchu Sun, 2005. "Bayesian Estimates for Vector Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 105-117, January.
    2. Tom Leonard & John Hsu & Kam-Wah Tsui & James Murray, 1994. "Bayesian and likelihood inference from equally weighted mixtures," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(2), pages 203-220, June.
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    Cited by:

    1. Hannart, Alexis & Naveau, Philippe, 2014. "Estimating high dimensional covariance matrices: A new look at the Gaussian conjugate framework," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 149-162.
    2. Oda, Hidemasa & Komaki, Fumiyasu, 2023. "Enriched standard conjugate priors and the right invariant prior for Wishart distributions," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
    3. Hein, Maren & Kurz, Peter & Steiner, Winfried J., 2019. "On the effect of HB covariance matrix prior settings: A simulation study," Journal of choice modelling, Elsevier, vol. 31(C), pages 51-72.

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