Publication:
Bayesian outliers functions for linear models

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URI: http://hdl.handle.net/10016/5816
ISSN: 2340-5031
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we9114.PDF (1.15 MB)
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1991-03
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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.
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Cross-validations, Diagnosis, Mixture models, Model selection
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DE - Working Papers. Economics. WE
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