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Implementation of a Robust Bayesian Method

Portela García-Miguel, Javier and Gómez Villegas, Miguel Ángel (2004) Implementation of a Robust Bayesian Method. Journal of Statistical Computation and Simulation, 74 (4). pp. 235-248. ISSN 0094-9655


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In this work we study robustness in Bayesian models through a generalization of the Normal distribution. We show new
appropriate techniques in order to deal with this distribution in Bayesian inference. Then we propose two approaches to decide, in some applications, if we should replace the usual Normal model by this generalization.
First, we pose this dilemma as a model rejection problem, using diagnostic measures. In the second approach we evaluate model’s predictive efficiency. We illustrate those perspectives with a simulation study, a non linear model and a longitudinal data model.

Item Type:Article
Uncontrolled Keywords:Bayesian Inference, Bayesian robustness, Exponential Power distribution, Markov Chain Monte Carlo
Subjects:Sciences > Mathematics > Mathematical statistics
ID Code:11166
Deposited On:16 Sep 2010 08:45
Last Modified:06 Feb 2014 08:58

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