Classical and bayesian inference robustness in multivariate regression models

Journal of the American Statistical Association

Volumn 92, Issue 440, 1997, Pages 1434-1444

  Fernández, Carmen ^a,b   Osiewalski, Jacek ^b,c   Steel, Mark F J ^a  

^a TILBURG UNIVERSITY   (Netherlands)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^c CRACOW UNIVERSITY OF ECONOMICS   (Poland)

Author keywords

Distribution invariance; Independent sampling; Likelihood ratio principle; Pivotal quantity; Posterior inference; Scale invariance

Indexed keywords

EID: 0039502263     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.1997.10473664     Document Type: Article

References (17)

1. Anderson, T. W, Fang, K. T., and Hsu, H.(1986), "Maximum-Likelihood Estimates and Likelihood-Ratio Criteria for Multivariate Elliptically Contoured Distributions,"The Canadian Journal of Statistics, 14, 55-59.
2. Berger, J. O.(1985), Statistical Decision Theory and Bayesian Analysis, New York: Springer-Verlag.
3. Boot, J. C. G., and de Wit, G. M.(1960), "Investment Demand: An Empirical Contribution to the Aggregation Problem,"International Economic Review, 1, 3-30.
4. Box, G. E. P., and Tiao, G. C.(1973), Bayesian Inference in Statistical Analysis, Reading, MA: Addison-Wesley.
5. Dawid, A. P.(1977), "Spherical Matrix Distributions and a Multivariate Model,"Journal of the Royal Statistical Society, Ser. B, 39, 254-261.
6. Dickey, J. M.(1968), "Three Multidimensional-Integral Identities With Bayesian Applications,"Annals of Mathematical Statistics, 39, 1615-1628.
7. Dreze, J. H.(1977), "Bayesian Regression Analysis Using Poly-t Densities,"Journal of Econometrics, 6, 329-354.
8. Fang, K. T., Kotz, S., and Ng, K. W(1990), Symmetric Multivariate and Related Distributions, London: Chapman and Hall.
9. Fang, K. T., and Zhang, Y. T.(1990), Generalized Multivariate Analysis, Berlin: Springer-Verlag.
10. Fernandez, C., Osiewalski, J., and Steel, M. F. J.(1994), "The Continuous Multivariate Location-Scale Model Revisited: A Tale of Robustness,"Biometrika, 81, 588-594.
11. Fernandez, C., Osiewalski, J., and Steel, M. F. J. (1995), "Modeling and Inference With v-Spherical Distributions,"Journal of the American Statistical Association, 90, 1331-1340.
12. Kelker, D.(1970), "Distribution Theory of Spherical Distributions and a Location-Scale Generalization,"Sankhya, Ser. A, 32, 419-430.
13. Nachtsheim, C. J., and Johnson, M. E.(1988), "A New Family of Multivariate Distributions With Applications to Monte Carlo Studies,"Journal of the American Statistical Association, 83, 984-989.
14. Ng, K. W., and Fraser, D. A. S.(1994), "Inference for Linear Models With Radially Decomposable Error," in Multivariate Analysis and its Applications, IMS Lecture Notes-Monograph Series, Vol. 24, 359-367.
15. Osiewalski, J., and Steel, M. F. J.(1993), "Robust Bayesian Inference in lq-Spherical Models,"Biometrika, 80, 456-460.
16. Tiao, G. C; and Zellner, A.(1964), "Bayes' Theorem and the Use of Prior Knowledge in Regression Analysis,"Biometrika, 51, 219-230.
17. Zellner, A.(1971), An Introduction to Bayesian Inference in Econometrics, New York: Wiley.