Specifying a prior distribution in structured regression problems

Samuel D. Oman*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Scopus citations

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 languageEnglish
Pages (from-to)190-195
Number of pages6
JournalJournal of the American Statistical Association
Volume80
Issue number389
DOIs
StatePublished - Mar 1985

Keywords

  • Bayes estimation
  • Ridge regression
  • Second-order models
  • Stein estimates

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