Bayesian Likelihood Robustness in Linear Models Articles uri icon

publication date

  • January 2009

start page

  • 2196

end page

  • 2207

issue

  • 7

volume

  • 139

international standard serial number (ISSN)

  • 0378-3758

electronic international standard serial number (EISSN)

  • 1873-1171

abstract

  • This paper deals with the problem of robustness of Bayesian regression with respect to the data. We first give a formal definition of Bayesian robustness to data contamination, prove that robustness according to the
    definition cannot be obtained by using heavy-tailed error distributions
    in linear regression models and propose a heteroscedastic approach to
    achieve the desired Bayesian robustness