Theoretical properties of Bayesian Student-t linear regression

被引：3
|
作者：
Gagnon, Philippe [1 ]
Hayashi, Yoshiko [2 ]
机构：
[1] Univ Montreal, Montreal, PQ, Canada
[2] Osaka Univ Econ, Osaka, Japan
来源：
STATISTICS & PROBABILITY LETTERS | 2023年 / 193卷
关键词：
Built-in robustness; Conflict resolution; Efficiency; Large-sample asymptotics; ROBUSTNESS; MODELS; OUTLIERS; LOCATION;
D O I：
10.1016/j.spl.2022.109693
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Bayesian Student -t linear regression is a common robust alternative to the normal model, but its theoretical properties are not well understood. We aim to fill some gaps by providing analyses in two different asymptotic scenarios. The results allow to precisely characterize the trade-off between robustness and efficiency controlled through the degrees of freedom (at least asymptotically).(c) 2022 Elsevier B.V. All rights reserved.
引用
收藏
页数：8
相关论文
共 50 条
  • [1] Objective Bayesian Analysis for the Student-t Linear Regression
    He, Daojiang
    Sun, Dongchu
    He, Lei
    [J]. BAYESIAN ANALYSIS, 2021, 16 (01): : 129 - 145
  • [2] Objective Bayesian analysis for the Student-t regression model
    Fonseca, Thais C. O.
    Ferreira, Marco A. R.
    Migon, Helio S.
    [J]. BIOMETRIKA, 2008, 95 (02) : 325 - 333
  • [3] Student-t Process Regression with Student-t Likelihood
    Tang, Qingtao
    Niu, Li
    Wang, Yisen
    Dai, Tao
    An, Wangpeng
    Cai, Jianfei
    Xia, Shu-Tao
    [J]. PROCEEDINGS OF THE TWENTY-SIXTH INTERNATIONAL JOINT CONFERENCE ON ARTIFICIAL INTELLIGENCE, 2017, : 2822 - 2828
  • [4] Student-t Process Regression with Dependent Student-t Noise
    Tang, Qingtao
    Wang, Yisen
    Xia, Shu-Tao
    [J]. ECAI 2016: 22ND EUROPEAN CONFERENCE ON ARTIFICIAL INTELLIGENCE, 2016, 285 : 82 - 89
  • [5] A non-iterative Bayesian sampling algorithm for censored Student-t linear regression models
    Yuan, Haijing
    Yang, Fengkai
    [J]. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2016, 86 (16) : 3337 - 3355
  • [6] BAYESIAN TREATMENT OF THE INDEPENDENT STUDENT-T LINEAR-MODEL
    GEWEKE, J
    [J]. JOURNAL OF APPLIED ECONOMETRICS, 1993, 8 : S19 - S40
  • [7] Student-t censored regression model: properties and inference
    Reinaldo B. Arellano-Valle
    Luis M. Castro
    Graciela González-Farías
    Karla A. Muñoz-Gajardo
    [J]. Statistical Methods & Applications, 2012, 21 : 453 - 473
  • [8] Influence diagnostics for Student-t censored linear regression models
    Massuia, Monique B.
    Barbosa Cabral, Celso Romulo
    Matos, Larissa A.
    Lachos, Victor H.
    [J]. STATISTICS, 2015, 49 (05) : 1074 - 1094
  • [9] Student-t censored regression model: properties and inference
    Arellano-Valle, Reinaldo B.
    Castro, Luis M.
    Gonzalez-Farias, Graciela
    Munoz-Gajardo, Karla A.
    [J]. STATISTICAL METHODS AND APPLICATIONS, 2012, 21 (04): : 453 - 473
  • [10] Bayesian inference in generalized error and generalized student-t regression models
    Tsionas, Efthymios G.
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2008, 37 (03) : 388 - 407
12345