Theoretical properties of Bayesian Student-t linear regression

DOI10.1016/J.SPL.2022.109693MaRDI QIDQ6395759arXivFDO

Authors Philippe Gagnon, Yoshiko Hayashi

Publication date 5 April 2022

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.SPL.2022.109693

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05)

arXiv classification

math.STstat.MEstat.TH

Abstract: Bayesian Student-$t$ linear regression is a common robust alternative to the normal model, but its theoretical properties are not well understood. We aim to fill some gaps by providing analyses in two different asymptotic scenarios. The results allow to precisely characterize the trade-off between robustness and efficiency controlled through the degrees of freedom (at least asymptotically).

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