Bayesian robustness to outliers in linear regression and ratio estimation

DOI10.1214/17-BJPS385zbMATH Open1418.62270arXiv1612.05307OpenAlexW2962678146WikidataQ128280063 ScholiaQ128280063MaRDI QIDQ2415487FDOQ2415487

Authors: Alain Desgagné, Philippe Gagnon 

Publication date: 22 May 2019

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: Whole robustness is a nice property to have for statistical models. It implies that the impact of outliers gradually vanishes as they approach plus or minus infinity. So far, the Bayesian literature provides results that ensure whole robustness for the location-scale model. In this paper, we make two contributions. First, we generalise the results to attain whole robustness in simple linear regression through the origin, which is a necessary step towards results for general linear regression models. We allow the variance of the error term to depend on the explanatory variable. This flexibility leads to the second contribution: we provide a simple Bayesian approach to robustly estimate finite population means and ratios. The strategy to attain whole robustness is simple since it lies in replacing the traditional normal assumption on the error term by a super heavy-tailed distribution assumption. As a result, users can estimate the parameters as usual, using the posterior distribution.

Full work available at URL: https://arxiv.org/abs/1612.05307

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zbMATH Keywords

finite populationsratio estimatorsimple linear regressionbuilt-in robustnesspopulation meanssuper heavy-tailed distributions

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Cited In (9)

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• Robust heavy-tailed versions of generalized linear models with applications in actuarial science
• A heavy-tailed and overdispersed collective risk model
• Log-regularly varying scale mixture of normals for robust regression
• A new Bayesian approach to robustness against outliers in linear regression
• Theoretical properties of Bayesian Student-\(t\) linear regression
• Robustness against outliers: A new variance inflated regression model for proportions
• An automatic robust Bayesian approach to principal component regression
• Informed reversible jump algorithms

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