Bayesian analysis of disturbances variance in the linear regression model under asymmetric loss functions

Authors
Chaturvedi, A Bhatti, MI Kumar, K
Citation
A. Chaturvedi et al., Bayesian analysis of disturbances variance in the linear regression model under asymmetric loss functions, APPL MATH C, 114(2-3), 2000, pp. 149-153
Citations number
8
Categorie Soggetti
Engineering Mathematics
Journal title
APPLIED MATHEMATICS AND COMPUTATION
ISSN journal
00963003 → ACNP
Volume
114
Issue
2-3
Year of publication
2000
Pages
149 - 153
Database
ISI
SICI code
0096-3003(20000911)114:2-3<149:BAODVI>2.0.ZU;2-4
Abstract
The present paper obtains a Bayes estimator of the disturbance variance in a linear regression model under two asymmetric loss functions viz., LINEX l oss function and SQUAREX loss function, assuming a natural conjugate prior distribution for the parameters. The expression for the Bayes risk of the e stimator is also derived. (C) 2000 Elsevier Science Inc. All rights reserve d.