8.6 The general linear model revisited
8.6.1 An informative prior for the general linear model
This section follows on from Section 6.7 on ‘The general linear model’ and like that section presumes a knowledge of matrix theory.
We suppose as in that section that
(where is r-dimensional, so is ), but this time we take a non-trivial prior for , namely
(where is s-dimensional, so is ). If the hyperparameters are known, we may as well take r=s and , and in practice dispense with , but although for ...