Implementation of a Robust Bayesian Method

Portela García-Miguel, Javier; Gómez Villegas, Miguel Ángel

Implementation of a Robust Bayesian Method

Download

2004impl.pdf (631.73 KB)

Official URL

https//doi.org/10.1080/0094965031000147713

Publication date

2004

Authors

Portela García-Miguel, Javier

Gómez Villegas, Miguel Ángel

Publisher

Gordon & Breach

Citations

Exportar

URI

https://hdl.handle.net/20.500.14352/49409

Citation

Portela García-Miguel, J. & Gómez Villegas, M. A. «Implementation of a Robust Bayesian Method». Journal of Statistical Computation and Simulation, vol. 74, n.o 4, abril de 2004, pp. 235-48. DOI.org (Crossref), https://doi.org/10.1080/0094965031000147713.

Abstract

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.