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

摘要

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. (C) 2000 Elsevier Science Inc. All rights reserved. [References: 8]