Bayesian outliers functions for linear models

George C. Tiao
Authors registered in the RePEc Author Service: Daniel Peña

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: This paper introduces two new diagnostic tools: the Bayesian outlier curve (BOC) and the Sequential Bayesian outlier curve (SEBOC). Both are built using the posterior odds for every possible number of outliers in a scale contaminated linear model. It is shown that these functions have a cross-validation interpretation, and can be useful to judge the robustness of the fitted model. The computation of these curves is carried out using ideas from stratified sampling.

Keywords: Cross-validations; Diagnosis; Mixture; models; Model; selection (search for similar items in EconPapers)
Date: 1991-03
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:5816

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