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Portela García-Miguel, Javier Gómez Villegas, Miguel Ángel 2023-06-20T09:24:54Z 2023-06-20T09:24:54Z 2004-04 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. 0094-9655 10.1080/0094965031000147713 https://hdl.handle.net/20.500.14352/49409 https//doi.org/10.1080/0094965031000147713 http://www.tandf.co.uk/journals/titles/00949655.html 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. eng open access Implementation of a Robust Bayesian Method journal article