Question: 4. Suppose you have a Normal linear regression model with partially informative natural conjugate prior, where prior information is available only on J k

4. Suppose you have a Normal linear regression model with partially informative natural conjugate prior, where prior information is available only on J  k linear combinations of the regression coefficients, and the prior for h is the noninformative one of (3.24). Thus, Rþjh ¾ N.r; h1Vr /, where R and r are defined after (3.25) and Vr is a J ð J positive definite matrix. Show that the posterior is given by

þ; hjy ¾ NG.eþ; eV ;es2;e¹/

where eV D .R0V 1 r R C X0X/1 eþ D eV.R0V 1 r þ C X0Xbþ/

e¹ D N and e¹es2 D ¹s2 C .eþ  bþ/0X0X.eþ  bþ/ C .Rbþ  r /0V1 r .Rbþ  r /

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