1
$\begingroup$

Suppose we have a multivariate Gaussian distribution $X \sim \mathcal{N}(\mu,\Sigma)$ where $\mu=(\mu_1,\mu_2,\dots,\mu_n) \in \mathbb{R}^n$ (the posterior of a conjugate Gaussian prior perhaps). Is it possible to obtain closed form expressions for the $(1-\alpha)$ credible region of $X$ (e.g. for $\alpha=0.05$) ? Similarly, is it possible to obtain closed form expressions for $(1-\alpha)$ marginal credible intervals for each of the $\mu_i$?

$\endgroup$
0

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.