Prediction distribution for a linear regression model with multivariate student-t error distribution

Abstract

The distribution(s) of future response(s) given a set of data from an informative experiment is known as prediction distribution. The paper derives the prediction distribution(s) from a linear regression model with a multivari-ate Student-t error distribution using the structural relations of the model. We observe that the prediction distribution(s) are multivariate t-variate(s) with degrees of freedom which do not depend on the degrees of freedom of the error distribution.