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

Anoop Chaturvedi; M I  Bhatti; Kuldeep Kumar

doi:10.1016/S0096-3003(99)00108-3

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

Centre for Data Analytics

Research output: Contribution to journal › Article › Research › peer-review

9 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 language	English
Pages (from-to)	149-153
Number of pages	5
Journal	Applied Mathematics and Computation
Volume	114
Issue number	2-3
DOIs	https://doi.org/10.1016/S0096-3003(99)00108-3
Publication status	Published - 11 Sept 2000

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title = "Bayesian analysis of disturbances variance in the linear regression model under asymmetric loss functions",

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.",

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AU - Chaturvedi, Anoop

AU - Bhatti, M I

AU - Kumar, Kuldeep

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N2 - 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.

AB - 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.

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DO - 10.1016/S0096-3003(99)00108-3

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JO - Applied Mathematics and Computation

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

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