The prediction distribution for the heteroscedastic multivariate linear models Article

Kibria, BMG. (1999). The prediction distribution for the heteroscedastic multivariate linear models . COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 28(10), 2477-2486. 10.1080/03610929908832431

cited authors

  • Kibria, BMG

authors

abstract

  • The heteroscedastic multivariate linear model with multivariate normal error distribution has been considered. Using the structural relation of the model, the prediction distribution of future responses of the model has been derived. It is observed that for known covariance parameters the prediction distribution of the model has a product of m multivariate Student t distribution. It is to be noted that the prediction distribution for the Student t error also has a product of m multivariate Student t distribution. Some special cases have been discussed.

publication date

  • January 1, 1999

published in

Digital Object Identifier (DOI)

start page

  • 2477

end page

  • 2486

volume

  • 28

issue

  • 10