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Only Normal Distributions Have Linear Posterior Expectations in Linear Regression
线性回归中线性后验期望对正态分布的刻画
We consider the general linear model Y = Aβ + ε in the Bayesian framework and examine the implications of the statement that the posterior expectation of β, given Y, is a linear function of Y. Under various conditions on the model, it is shown that this linear posterior expectation implies that both β and ε are normally distributed. For most of the practical situations in which linear models are used, only normal distributions have linear posterior expectations.
Only Normal Distributions Have Linear Posterior Expectations in Linear Regression
线性回归中线性后验期望对正态分布的刻画
We consider the general linear model Y = Aβ + ε in the Bayesian framework and examine the implications of the statement that the posterior expectation of β, given Y, is a linear function of Y. Under various conditions on the model, it is shown that this linear posterior expectation implies that both β and ε are normally distributed. For most of the practical situations in which linear models are used, only normal distributions have linear posterior expectations.
Estimation of the Correlation Coefficient from a Broken Random Sample
配对关系丢失的随机样本中相关系数的估计
Inference about the correlation coefficient $\rho$ in a bivariate normal distribution is considered when observations from the distribution are available only in the form of a broken random sample. In other words, a random sample of $n$ pairs is drawn from the distribution but the observed data are only the first components of the $n$ pairs and, separately, some unknown permutation of the second components of the $n$ pairs. Under these conditions, the estimation of $\rho$ is,…
Stochastic Processes and Related Topics.
Doing What Comes Naturally: Interpreting a Tail Area as a Posterior Probability or as a Likelihood Ratio
顺其自然:将尾部面积解释为后验概率或似然比
Consider a problem in which a certain statistic X has a specified distribution function F(x) if a given hypothesis H is true, and suppose that the hypothesis H is evaluated by calculating the tail area 1 – F(x) corresponding to the observed value x of the statistic X. Examples are given in which this tail area is equal to the posterior probability that H is true and in which it is equal to the likelihood ratio comparing H to a certain class K of alternatives. The purpose of…