Enriched standard conjugate priors and the right invariant prior for Wishart distributions

• DOI: 10.48550/arxiv.2101.04919
• Publication Date: 2021-01-01
• Authors: Hidemasa Oda; Fumiyasu Komaki
• Keywords: Inverse-Wishart distribution; Conjugate prior; Matrix t-distribution; Posterior predictive distribution

The prediction of the variance-covariance matrix multivariate normal distribution is important in analysis. We investigated Bayesian predictive distributions for Wishart under Kullback-Leibler divergence. conditional reducibility family enables us to decompose risk a distribution. considered recently introduced class prior distributions, which called enriched standard conjugate and compared based on these distributions. Furthermore, we studied performance reference showed that there exists dominates Our study provides new insight into analysis when an ordered inferential importance independent variables.