On a multivariate log-gamma distribution and the use of the distribution in the Bayesian analysis

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Demirhan H., Hamurkaroglu C.

JOURNAL OF STATISTICAL PLANNING AND INFERENCE, vol.141, no.3, pp.1141-1152, 2011 (SCI-Expanded)

• Publication Type: Article / Article
• Volume: 141 Issue: 3
• Publication Date: 2011
• Doi Number: 10.1016/j.jspi.2010.09.015
• Journal Name: JOURNAL OF STATISTICAL PLANNING AND INFERENCE
• Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
• Page Numbers: pp.1141-1152
• Hacettepe University Affiliated: Yes

Abstract

In this article, we propose a new generalized multivariate log-gamma distribution. We consider the usage of the proposed multivariate distribution as the prior distribution in the Bayesian analysis. The generalized multivariate log-gamma distribution allows for the inclusion of prior knowledge on correlations between model parameters when likelihood is not in the form of a normal distribution. Use of the proposed distribution in the Bayesian analysis of log-linear models is also discussed. (C) 2010 Elsevier B.V. All rights reserved.