Publisher's Synopsis
Excerpt from Extended Natural Conjugate Distributions for the Multinormal Process
Furthermore, Rothenburg [4 points out an additional difficulty associated with natural conjugate analysis of the Multinormal process when this analysis is applied to reduced form systems; namely, if the joint prior of (i, E), the matrix of coefficients of the system and the inverse of the variance-covariance matrix of the residual error vector respectively, is in the natural conjugate family, then the marginal variances of all coefficients in the ith row of ? are proportional to the marginal variances of coefficients in the jth row of g. In practical problems, such a restriction is often undesirable. Zellner [5 attempts to deal with this problem.
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