Abstract
The problem of assessing the prior mean and covariance matrix of the vector of regression coefficients in the normal multiple linear regression model is considered. Arguments are advanced for using expectations regarding the form of the design matrix in specifying the prior for problems with a structure that can aid in specifying these expectations. This is illustrated with models having second-order terms. An example is given.
Original language | English |
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Pages (from-to) | 190-195 |
Number of pages | 6 |
Journal | Journal of the American Statistical Association |
Volume | 80 |
Issue number | 389 |
DOIs | |
State | Published - Mar 1985 |
Keywords
- Bayes estimation
- Ridge regression
- Second-order models
- Stein estimates