A new Bayesian approach to robustness against outliers in linear regression

DOI10.1214/19-BA1157zbMATH Open1459.62133arXiv1612.06198OpenAlexW2896249633WikidataQ127822604 ScholiaQ127822604MaRDI QIDQ2226686FDOQ2226686

Authors: Philippe Gagnon, Alain Desgagné, M. Bédard 

Publication date: 9 February 2021

Published in: Bayesian Analysis (Search for Journal in Brave)

Abstract: Linear regression is ubiquitous in statistical analysis. It is well understood that conflicting sources of information may contaminate the inference when the classical normality of errors is assumed. The contamination caused by the light normal tails follows from an undesirable effect: the posterior concentrates in an area in between the different sources with a large enough scaling to incorporate them all. The theory of conflict resolution in Bayesian statistics (O'Hagan and Pericchi (2012)) recommends to address this problem by limiting the impact of outliers to obtain conclusions consistent with the bulk of the data. In this paper, we propose a model with super heavy-tailed errors to achieve this. We prove that it is wholly robust, meaning that the impact of outliers gradually vanishes as they move further and further away form the general trend. The super heavy-tailed density is similar to the normal outside of the tails, which gives rise to an efficient estimation procedure. In addition, estimates are easily computed. This is highlighted via a detailed user guide, where all steps are explained through a simulated case study. The performance is shown using simulation. All required code is given.

Full work available at URL: https://arxiv.org/abs/1612.06198

Recommendations

• Bayesian robustness to outliers in linear regression and ratio estimation
• Bayesian likelihood robustness in linear models
• scientific article; zbMATH DE number 3905641
• Robust Bayesian Regression Analysis Using Ramsay-Novick Distributed Errors with Student-t Prior
• scientific article; zbMATH DE number 1843026

zbMATH Keywords

variable selectionANOVAmaximum likelihood estimationANCOVAbuilt-in robustnesssuper heavy-tailed distributionswhole robustness

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Analysis of variance and covariance (ANOVA) (62J10)

Cites Work

• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Bayesian robustness to outliers in linear regression and ratio estimation
• Robustness to outliers in location-scale parameter model using log-regularly varying distributions
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Title not available (Why is that?)
• A Bayesian approach to some outlier problems
• Monte Carlo sampling methods using Markov chains and their applications
• High breakdown-point and high efficiency robust estimates for regression
• Rejection of Outliers
• Equation of state calculations by fast computing machines
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Useful Convergence Theorem for Probability Distributions
• Asymptotic behavior of Bayes estimates under possibly incorrect models
• A class of robust and fully efficient regression estimators
• Bayesian robustness modelling of location and scale parameters
• Bayesian heavy-tailed models and conflict resolution: a review
• Robust linear regression: A review and comparison
• Full robustness in Bayesian modelling of a scale parameter
• Bayesian likelihood robustness in linear models

Cited In (16)

• Robustness against conflicting prior information in regression
• Robust heavy-tailed versions of generalized linear models with applications in actuarial science
• Log-regularly varying scale mixture of normals for robust regression
• Posterior robustness with milder conditions: contamination models revisited
• Bayesian robustness to outliers in linear regression and ratio estimation
• Short proof of posterior robustness: An illustration of basic ideas in a simple case
• On the robustness to outliers of the Student‐t process
• Bayesian likelihood robustness in linear models
• Bayesian modal regression based on mixture distributions
• Title not available (Why is that?)
• Theoretical properties of Bayesian Student-\(t\) linear regression
• Efficient and robust estimation of regression and scale parameters, with outlier detection
• Robustness against outliers: A new variance inflated regression model for proportions
• A principal component analysis of multivariate data on inflation for Nigeria
• Title not available (Why is that?)
• Informed reversible jump algorithms

This page was built for publication: A new Bayesian approach to robustness against outliers in linear regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2226686)