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Bayesian outliers functions for linear models

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  • Peña, Daniel
  • Tiao, George C.

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.

Suggested Citation

  • Peña, Daniel & Tiao, George C., 1991. "Bayesian outliers functions for linear models," UC3M Working papers. Economics 5816, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:5816
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    References listed on IDEAS

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    1. Bovas Abraham & George E. P. Box, 1978. "Linear Models and Spurious Observations," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 27(2), pages 131-138, June.
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    Keywords

    Cross-validations;

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