Finite Sample Performance of Robust Bayesian Regression

The finite sample performance of a number of linear regression estimators is investigated in a variety of parametric settings involving outliers. A Bayesian approach is shown to have good overall comparative performance. It is then shown how the same Bayesian methodology can be easily extended to robust nonparametric regression. The Bayesian analysis is carried out using the Gibbs sampler

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Year of publication:	2008
Authors:	Smith, Michael S. ; Sheather, Simon J. ; Kohn, Robert
Publisher:	[S.l.] : SSRN
Subject:	Robustes Verfahren \| Robust statistics \| Schätztheorie \| Estimation theory \| Regressionsanalyse \| Regression analysis \| Bayes-Statistik \| Bayesian inference

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Extent:	1 Online-Ressource (33 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 24, 1996 erstellt
Other identifiers:	10.2139/ssrn.41540 [DOI]
Classification:	C11 - Bayesian Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014030482