Pensky, Marianna - In: Journal of Multivariate Analysis 69 (1999) 2, pp. 242-260
We consider independent pairs (X1, [Sigma]1), (X2, [Sigma]2), ..., (Xn, [Sigma]n), where each[Sigma]iis distributed according to some unknown density functiong([Sigma]) and, given[Sigma]i=[Sigma],Xihas conditional density functionq(x|[Sigma]) of the Wishart type. In each pair the...
