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Biometrika 1987 74(3):557-562; doi:10.1093/biomet/74.3.557
© 1987 by Biometrika Trust
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Multiresponse parameter estimation with a new and noninformative prior

WARREN E. STEWART

Department of Chemical Engineering, University of Wisconsin-Madison Madison, Wisconsin 53706, U.S.A.

A noninformative prior distribution for the covariance matrix of a normal distribution is derived from a data-relocated likelihood function. This new prior distribution also follows from Jeffreys's rule. Resulting modifications of current formulae for multiresponse parameter estimation are summarized.

Key Words: Bayesian estimation • Covariance matrix • Data-relocated likelihood • Jeffreys's rule • Missing observations • Multiple responses


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