A procedure to select a ML-II prior in a multivariate normal case

Abstract

Berger (1985) derived a procedure to select a maximum likelihood II prior distribution. In this paper a method is suggested to construct such a prior distribution from a multivariate ε-contamination class of distributions. The method is illustrated by the conetruction of a ML-II prior in the multivariate normal case.

Keywords:

• Contamination class
• likehood function
• Marginal density
• multivariate normal
• prior distribution