Bayesian analysis of disturbances variance in the linear regression model under asymmetric loss functions

Anoop Chaturvedi*, M I Bhatti, Kuldeep Kumar

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)

Abstract

The present paper obtains a Bayes estimator of the disturbance variance in a linear regression model under two asymmetric loss functions viz., LINEX loss function and SQUAREX loss function, assuming a natural conjugate prior distribution for the parameters. The expression for the Bayes risk of the estimator is also derived.

Original languageEnglish
Pages (from-to)149-153
Number of pages5
JournalApplied Mathematics and Computation
Volume114
Issue number2-3
DOIs
Publication statusPublished - 11 Sep 2000

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