Bayesian inference in a heteroscedastic replicated measurement error model using heavy-tailed distributions

• Published in: Journal of statistical computation and simulation Vol. 87; no. 15; pp. 2915 - 2928
• Main Authors: Cao, Chunzheng, Chen, Mengqian, Zhu, Xiaoxin, Jin, Shaobo
• Format: Journal Article
• Language: English
• Published: Abingdon Taylor & Francis 13.10.2017; Taylor & Francis Ltd
• Subjects: Bayesian analysis; Computer simulation; Error analysis; Heteroscedasticity; Markov Chain Monte Carlo; Markov chains; Monte Carlo simulation; multiple regression; Normal distribution; Outliers (statistics); Parameter estimation; Regression analysis; robustness; scale mixtures of normal; Statistical inference
• ISSN: 0094-9655; 1563-5163; 1563-5163
• DOI: 10.1080/00949655.2017.1349131

We introduce a multivariate heteroscedastic measurement error model for replications under scale mixtures of normal distribution. The model can provide a robust analysis and can be viewed as a generalization of multiple linear regression from both model structure and distribution assumption. An effi...