Theoretical properties of Bayesian Student-t linear regression

Philippe Gagnon and Yoshiko Hayashi

Statistics & Probability Letters, 2023, vol. 193, issue C

Abstract: Bayesian Student-t linear regression is a common robust alternative to the normal model, but its theoretical properties are not well understood. We aim to fill some gaps by providing analyses in two different asymptotic scenarios. The results allow to precisely characterize the trade-off between robustness and efficiency controlled through the degrees of freedom (at least asymptotically).

Keywords: Built-in robustness; Conflict resolution; Efficiency; Large-sample asymptotics (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2022.109693

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