Bayesian robustness to outliers in linear regression and ratio estimation

DOI10.1214/17-BJPS385MaRDI QIDQ2415487zbMATH OpenOpenAlexWikidataFDO

Authors Alain Desgagné, Philippe Gagnon

Publication date 22 May 2019

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

Full work available at URL https://arxiv.org/abs/1612.05307, https://projecteuclid.org/euclid.bjps/1551690032

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)

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.

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