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Aspects of multivariate regression

  • Regression and Time Series
  • Invited Papers
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Trabajos de Estadistica Y de Investigacion Operativa

Summary

Important features of multivariate linear regression are emphasised and a selection of prior distributions discussed. Priors used by Brown and Zidek (1978) lead them to a class of ‘Empirical’ Bayes shrinkage estimates. The strength of shrinkage is examined with respect to an election forecasting example where observations obtain one after another.

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Authors and Affiliations

  1. Imperial College, London

    Philip J. Brown

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  1. Philip J. Brown
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Brown, P.J. Aspects of multivariate regression. Trabajos de Estadistica Y de Investigacion Operativa 31, 249–265 (1980). https://doi.org/10.1007/BF02888354

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