Measurement error in linear regression models with fat tails and skewed errors

Linear regression models which account for skewed error distributions with fat tails have been previously studied. These two important features, skewness, and fat tails, are often observed in real data analyses. Covariates measured with an error also happen frequently in the observational data set-up. As a motivating example, wind speed as a covariate is usually used, among other covariates, to estimate the particulate matter (PM) which is one of the most critical air pollutants and has a major impact on human health and on the environment. However, the wind speed is measured with error and the distribution of PM is neither symmetric nor normally distributed (see Section “PM data application in Canada” for more details). Ignoring the issue of measurement error in covariates may produce bias in model parameters estimate and lead to wrong conclusions. In this paper, we propose an approach to study properly linear regression models where the covariates are measured with error and the error distribution is skewed with fat tails. We use a hierarchical Bayesian approach for inference, addressing also sensitivity of the results to priors. Performance of the proposed approach is evaluated through a simulation study and also by a real data application (PM in Canada).