The multivariate linear model with multivariate t and intra-class covariance structure
Article
Kibria, BMG, Haq, MS. (1999). The multivariate linear model with multivariate t and intra-class covariance structure
. STATISTICAL PAPERS, 40(3), 263-276. 10.1007/BF02929875
Kibria, BMG, Haq, MS. (1999). The multivariate linear model with multivariate t and intra-class covariance structure
. STATISTICAL PAPERS, 40(3), 263-276. 10.1007/BF02929875
The prediction distribution of future responses from a multivariate linear model with error having a multivariate t-distribution and intra-class covariance structure has been derived. The distribution depends on ρ, the intra-class correlation coefficient. For unknown ρ, the marginal likelihood function of ρ has been obtained and the prediction distribution has been approximated by the estimate of ρ. As an application, a β-expectation tolerance region for the model has been constructed.
