Bayesian generalized least squares regression with application to log Pearson type 3 regional skew estimation

This paper develops a Bayesian approach to analysis of a generalized least squares (GLS) regression model for regional analyses of hydrologic data. The new approach allows computation of the posterior distributions of the parameters and the model error variance using a quasi‐analytic approach. Two regional skew estimation studies illustrate the value of the Bayesian GLS approach for regional statistical analysis of a shape parameter and demonstrate that regional skew models can be relatively precise with effective record lengths in excess of 60 years. With Bayesian GLS the marginal posterior distribution of the model error variance and the corresponding mean and variance of the parameters can be computed directly, thereby providing a simple but important extension of the regional GLS regression procedures popularized by Tasker and Stedinger (1989), which is sensitive to the likely values of the model error variance when it is small relative to the sampling error in the at‐site estimator.