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 /
Step by Step Solution
There are 3 Steps involved in it
Get step-by-step solutions from verified subject matter experts
