Finite Sample Performance of Robust Bayesian Regression
33 Pages Posted: 13 Nov 1997
Date Written: April 24, 1996
Abstract
The finite sample performance of a number of linear regression estimators is investigated in a variety of parametric settings involving outliers. A Bayesian approach is shown to have good overall comparative performance. It is then shown how the same Bayesian methodology can be easily extended to robust nonparametric regression. The Bayesian analysis is carried out using the Gibbs sampler.
JEL Classification: C11
Suggested Citation: Suggested Citation
Smith, Michael and Sheather, Simon J. and Kohn, Robert, Finite Sample Performance of Robust Bayesian Regression (April 24, 1996). Available at SSRN: https://ssrn.com/abstract=41540 or http://dx.doi.org/10.2139/ssrn.41540
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