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Covariance information based on the t prior

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Bulletin of the Brazilian Mathematical Society, New Series Aims and scope Submit manuscript

Abstract.

The exact distribution of the covariance between two populations is derived. It is assumed that one of the population means has a Student's t prior while the other is taken to come from one of normal, Student's t, Laplace, logistic or Bessel families (the five well-known symmetric distributions). The exact distribution is given in terms of the characteristic function. The calculations involve several special functions.

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Authors and Affiliations

  1. School of Mathematics, University of Manchester, Manchester, M60 1QD, UNITED KINGDOM

    Saralees Nadarajah

  2. Department of Engineering Management and Systems Engineering, The George Washington University, Washington, D.C., 20052, U.S.A.

    Samuel Kotz

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  1. Saralees Nadarajah
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  2. Samuel Kotz
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Correspondence to Saralees Nadarajah.

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Nadarajah, S., Kotz, S. Covariance information based on the t prior. Bull Braz Math Soc, New Series 38, 427–436 (2007). https://doi.org/10.1007/s00574-007-0053-2

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  • DOI: https://doi.org/10.1007/s00574-007-0053-2

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