On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors

DOI10.1016/j.jmva.2009.12.015zbMath1184.62040OpenAlexW2018770068WikidataQ60521595 ScholiaQ60521595MaRDI QIDQ962214

James P. Hobert, Vivekananda Roy

Publication date: 6 April 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.12.015

zbMATH Keywords

Markov chaingeometric ergodicitydata augmentation algorithmdrift conditionminorization conditionrobust multivariate regression

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Monte Carlo methods (65C05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• R

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