Prediction Distribution for Simultaneous Auto-Regressive Model with Multivariate Student-T Error under the Bayesian Approach

Prediction distribution is a basis for predictive inferences applied in many real world situations. The Bayesian approach under uniform prior employed this paper to derive the prediction Simultaneous Auto-regressive model with multivariate Student-t error distribution. Conditional on set of realized responses, single and future responses have univariate distributions respectively, whose degrees freedom depend size sample dimension auto-regression parameters' vector but do not Results are identical those obtained normal by range statistical approaches such as distribution, autocorrelations classical methods. This indicates only inference robustness respect departures from distributions, also that competitive other methods derivation