Bayesian estimation of the dispersion matrix of a multivariate normal distribution

Abstract

The estimation of the dispersion matrix of a multivariate normal distribution with zero mean on the basis of a random sample is discussed from a Bayesian view. An inverted-Wishart distribu- tion for the dispersion is taken, with its defining matrix of intraclass form. Some consistency properties are described. The posterior distribution is found and its mode investigated as a possible estimate in preference to that of maximum likelihood