Cookies?
Library Header Image
LSE Research Online LSE Library Services

Robust Bayesian regression with the forward search: theory and data analysis

Atkinson, Anthony C. and Corbellini, Aldo and Riani, Marco (2017) Robust Bayesian regression with the forward search: theory and data analysis. TEST. ISSN 1133-0686

[img]
Preview
PDF - Published Version
Available under License Creative Commons Attribution.

Download (1MB) | Preview
Identification Number: 10.1007/s11749-017-0542-6

Abstract

The frequentist forward search yields a flexible and informative form of robust regression. The device of fictitious observations provides a natural way to include prior information in the search. However, this extension is not straightforward, requiring weighted regression. Bayesian versions of forward plots are used to exhibit the presence of multiple outliers in a data set from banking with 1903 observations and nine explanatory variables which shows, in this case, the clear advantages from including prior information in the forward search. Use of observation weights from frequentist robust regression is shown to provide a simple general method for robust Bayesian regression.

Item Type: Article
Official URL: https://link.springer.com/journal/11749
Additional Information: © 2017 The Authors © CC-BY 4.0
Subjects: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Date Deposited: 05 Jun 2017 15:29
Last Modified: 21 Sep 2017 11:40
URI: http://eprints.lse.ac.uk/id/eprint/79995

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics