Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors
采用新先验族的多元正态协方差矩阵贝叶斯分析
Bayesian analysis for the covariance matrix of a multivariate normal distribution has received a lot of attention in the last two decades. In this paper, we propose a new class of priors for the covariance matrix, including both inverse Wishart and reference priors as special cases. The main motivation for the new class is to have available priors—both subjective and objective—that do not “force eigenvalues apart,” which is a criticism of inverse Wishart and Jeffreys priors.…