Theoretical properties of Bayesian Student-$t$ linear regression
Statistics Theory
2023-02-08 v2 Methodology
Statistics Theory
Abstract
Bayesian Student- 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).
Cite
@article{arxiv.2204.02299,
title = {Theoretical properties of Bayesian Student-$t$ linear regression},
author = {Philippe Gagnon and Yoshiko Hayashi},
journal= {arXiv preprint arXiv:2204.02299},
year = {2023}
}