Classical and Bayesian Inference Robustness in Multivariate Regression models

C Fernandez, Jacek Osiewalski and Mark Steel

Working Papers from Catholique de Louvain - Institut de statistique

Abstract: Some classical inference procedures can be shown to be completely robust in theses classes of multivariate distributions. These findings are used in the practically relevant context of regression models. We present a robust bayesian analysis and indicate the links between classical and Bayesian results. In particular, for the regression model with i.i.d. errors up to a scale, a formal characterization is provided for both classical and Bayesian robustness results concerning inference on the regression parameters.

Keywords: STATISTICS (search for similar items in EconPapers)
JEL-codes: C11 C35 (search for similar items in EconPapers)
Pages: 18 pages
Date: 1996
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:louvis:9602

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