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

Atkinson, Anthony C., Corbellini, Aldo and Riani, Marco (2017) Robust Bayesian regression with the forward search: theory and data analysis. TEST, 26 (4). pp. 869-886. ISSN 1133-0686

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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
Divisions:	Statistics
Subjects:	H Social Sciences > HA Statistics
Date Deposited:	05 Jun 2017 15:29
Last Modified:	17 Oct 2024 17:21
URI:	http://eprints.lse.ac.uk/id/eprint/79995

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