This research includes the Bayesian estimation of the parameters of the multivariate partial linear regression model when the random error follows the matrix-variate generalized modified Bessel distribution and found the statistical test of the model represented by finding the Bayes factor criterion, the predictive distribution under assumption that the shape parameters are known. The prior distribution about the model parameters is represented by non-informative information, as well as the simulate on the generated data from the model by a suggested way based on different values of the shape parameters, the kernel function used in the generation was a Gaussian kernel function, the bandwidth (Smoothing) parameter was according to the rule of thumb. It found that the posterior marginal probability distribution of the location matrix and the predictive probability distribution is a matrix-t distribution with different parameters, the posterior marginal probability distribution of the scale matrix is proper distribution but it does not belong to the conjugate family, Through the Bayes factor criterion, it was found that the sample that was used in the generation process was drawn from a population that does not belong to the generalized modified Bessel population.
